You can do it, but you don't have to. I did a quick google search. Of course it looks better with the smooth normals but it also depends on what you want exactly.
It is probably only a minimal additional burden. But I'm also a friend of simply trying things out, because it depends on the circumstances.
I'm not sure, I don't think the shade smooth in Blender 100% translate into other software's just as it. From what I understand, each software has its won way of shade smoothing? Something about normal splitting and whatnot. I think it'll depend on the game engine you're taking your model into, some of them will get it fine, others have their own way. But again, I'm not sure, it's just a comment from what I remember JL saying or things on the internet. So for now, when it comes to Blender, I'd say don't worry about it too much, once you get the hang of modeling and go deeper, those things will come by and then you can take a deep dive in those more advanced topics.
Yes, shade smooth translates to most game engines. Now auto smooth/smooth by angle doesn't carry over the game engine. In which case you will have to either set it up in the engine or manually adjust it in blender by setting faces flat/smooth in edit mode.
Any updates Eduard?
(In General) Dose Blender 4.1 still use FBX, or did FBX fin get a much needed update yet?
4.1 still has FBX. It is also the last update to FBX done so far. There weren't any in 4.2 or 4.3. still no changes in 4.4. now gITL has been getting a lot of updates and bug fixes in each of the 4.x series. You can always check the Release Notes to see what has been changed. Just click version. For import/export it will be under either "import export" or "Pipeline, Assets, and I/O".