Nope, you do not have to vaccinate the birds. You can vaccinate for Mericks and coccicodisis, but neither are required. I personally do not vaccinate for either. Mericks is not big in this area so the risk is low, and for cocci, they can develop a natural immunity to it over time. Just have to expose them to the soil early on. If you get chicks vaccinated for cocci, you can't feed medicated feed, as it will nullify the vaccine.
The medication in the feed, is a thiamine blocker which inhibits the growth of cocci in the digestive tract so that the birds can develop their immunities naturally.
Organic birds can be vaccinated for mericks and cocci, which is why the cocci vaccine was made in the first place, because the amprolium (medication) was not allowed in feed.
A vaccine does not always last forever, and isn't transmitted to eggs. If you got a polio vaccine when you were a kid, as many of us in the US have today, we don't give the immunity to our children, which is why they too have to be vaccinated.