It is not a must, but it does free up more power. Think of all the other turbo applications that don't have lightened flywheels (Nissans, Mitsubishis,etc...). It's just to get the best performance out of your vehicle.
My question is, why wouldn't you do this? Money? To me, if your already spending money on a turbo setup-this is a small price in comparison. It shouldnt be too much to get it lightened and balanced at a machine shop. I had a friend do this with an
Accord, it reved a bit faster and you could feel a bit more response from the throttle.