You don't have to, but it's something that's done as a precaution.
When i took my front fascia off (Aussie model, has pedestrian impact sensors like the European spec models) i left the battery connected. I even disconnected these sensors and no errors were registered. If i remember right, the radio was on for the whole time.
If you're worried about losing your radio settings, gauge settings etc - write it all down before you disconnect the battery.
I removed my entire stock headunit and HVAC control boxes for two weeks. Amazingly, the clock and radio didn't need any resetting when i reinstalled it all. YMMV..
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