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If you don't as you do the final 'tighten' of the quick release by closing the lever it seems (for me) to slightly skew the wheel/rotor from where you lined it up to. I tend to tighten most of the way with rotor aligned by eye, then hold the brake on and while still holding the brake lever close the qr lever. This seems to stop the wheel twisting and gets you a (hopefully) nicely aligned wheel and rotor. Sometimes takes a couple of goes. I imagine this is why thru axle is popular/may take over as (as I understand it) it solves these axle alignment issues.
Nope
Should I be doing that