No. You shouldn't need to unlock the bootoader. S-Off gives you access to the partitions that an unlocked bootloader does, plus all of the rest of the partitions as well.
I believe locked/relocked bootloader will prevent installation of a custom recovery (TWRP) even with s-off, but I'm not sure. S-off on this device doesn't turn off security for everything as much as it did on previous devices.
OP can always try to flash TWRP (with locked bootloader) and if it works, it works. If it says "permission denied" then the bootloader needs to be unlocked.
I can't say for certain, as I've never actually locked/relocked the bootloader once s-off. It's not needed to do so in order to flash firmware/RUU (s-off bypasses the requirement), so I've never felt there was a valid reason to relock the bootloader.
---------- Post added at 09:09 AM ---------- Previous post was at 09:06 AM ----------
Battery life is crap. I went to bed with 63% woke up with 6%. Either something is wrong with the firmware/stock ROM or I have multiple app suckers.
Should I redo everything or just go with a different ROM? I really want to be on MM and Sense (Always enjoyed sense) as I got used to it with my old M8 and really like it. Any suggestions on a good MM sense based ROM.
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You can try to recalibrate the battery meter by holding power+vol up+vol down. Or there are also apps (Battery Watchdog) which can tell you if an app is causing excessive drain, wakelocks, etc.
EDIT: I see you've tried the battery meter recalibration with much improvement, as posted here:
https://forum.xda-developers.com/showthread.php?t=2765663
One thing to note, you should let the phone "settle in" after such a recalibration, or flashing RUU, by charging to 100, and letting discharge to 10-20% at least once. After RUU, etc. the battery meter hi/low flags need to be reset in order to get a decent battery % reading. Although your issues seem to extend further than the simple "settling in" of the battery meter.
---------- Post added at 09:23 AM ---------- Previous post was at 09:09 AM ----------
Looking for a stock Marshmallow/Sense based de-bloated AT&T ROM. Any suggestions?
I would actually suggest a non-AT&T ROM. Meaning, not based on the stock AT&T ROM. Reason being, I can't stand all the bloat and branding associated with AT&T, and don't need any of it. It also doesn't need to be based on AT&T ROM, to work on their network. Any of the ROMs in the "international" development sections will work. I've used S.ROM, LeeDroid, ICE, and others with fine results.
Another good option, is the US Developer's Edition stock ROM. The Dev Edition was intended to work on AT&T's network, and is basically the unbranded HTC ROM. So none of the AT&T bloat.
https://forum.xda-developers.com/htc-one-m8/development/rom-stock-unlocked-developer-sense-7-t3262894
I have heard of some of the AT&T bloat apps causing massive battery drain for some folks. So a custom ROM, or the Dev Ed ROM, is not a bad place to start troubleshooting the battery issue.