If you flash a Sense 2.22 based custom ROM, its recommended that you flash the updated firmware package (S-off required) or else wait until the 2.22 based OTA rolls out for your version (which will include "official" firmware).
If the updated firmware is not installed, 2.22 based ROMs will usually cause some major bugs, like excessive long boot time, broken WiFi and Bluetooth, etc.
S-off is usually not "required" to flash a ROM per se. This is an exception where the older firmware modules (not included in the ROM itself) are not playing well with the newer based ROMs.
You can always try it and see. I'm not sure if 100% of folks will have this issue (if you do not update firmware), but others have said you will "probably" have some major bugs.
On the other hand, if you are s-off and already have fastboot setup on your computer, the process to update firmware takes maybe 5 or 10 minutes.
Not completely certain, you should read/search the Skkydragon GPE thread, or maybe somebody who knows can chime in.
Its very much a personal choice. It you want the freedom to be able to flash firmware packages, radios, etc. at will; and $25 is something that you can afford to give away, then I'd say its recommended.
I had the luxury of being able to s-off earlier on for free, with firewater.