No. You do not need to install any software for basic audio and microphone functionality.
You can plug the headset in and start using it immediately.
Without Software Installed
You get:
Audio output
Microphone functionality
Basic plug-and-play performance
No installation is required.
With SteelSeries GG Installed (PC Only)
Installing SteelSeries GG unlocks additional features, including:
Dual-zone RGB illumination customization
Audio EQ adjustments
Per-game profiles
DTS Headphone:X v2.0 surround sound
Access to SteelSeries Sonar
200+ game-specific audio presets
These features are available when using the headset via USB on a PC.
Should I install it?
Install SteelSeries GG if you want:
Advanced audio customization
Surround sound
RGB control
Game-specific sound profiles
If you just want basic audio and mic use, software is not required.