I tag all my tracks with the key, and here are some things I’ve found about playing tracks that way.
1) tracks with the same key or a key that’s an interval of a perfect fifth sound really great together!
2) tracks with a key interval that aren’t matched can be great for changing the energy
So is mixing in key needed? No, but will mixing in key make your sets better? Most likely they will!
Anytime you stick within the rules of music theory your music will be more musical, but it’s not needed of course.