I don't think it's absolutely necessary. I've read of people feeding both raw and blanched vegetables, peeled and un-peeled, etc. There seem to be many different methods, each of which are acceptable.
There are arguments that blanching will cause a loss of some good nutrients, but I'm still on the fence about that topic. My otos seemed to prefer zucchini that was raw (unblanched).
The main thing is to be sure they're well-rinsed, to remove any possible pesticides.
Good luck!