It's theoretically optional, but can be required if you want to push your CPU. For example, my 5950X has a stock power of something like 105W. With PBO2 enabled and the limits raised/removed (configured as +200 boost, 395W PPT, 255A TDC, 200A EDC, -25 all core CO; everything else on auto, roughly), it can run around 150-200W with just AIO cooling (that's roughly a sustained all core 4400MHz, or sustained 4700MHz on a few cores with peaks of about 5000MHz; over the baseline stock frequency of 3400MHz). The optional 2nd power connection helps the board supply that and cope with any spikes in demand. If your PSU has a spare output that you can easily connect, do it; it can help the combination of board and chip deliver peak performance. If it's a problem to connect it, you can live without it but possibly won't be able to reach as high stable performance.
There's really no reason not to connect it if you have the PSU output and a cable to do so. It's only ever a good thing, even if you don't intend to do more than basic boost with stock limits.
