You don't have to, but it's way more fun now to do so in M2TW (even if a little counterproductive).
You only really need to massacre if you capture a settlement and religious unrest is very great or your army is too small to maintain control. If you pay attention to religion, lower taxes, install good governors, site your capital well and build carefully, you can maintain content or happy cities anywhere in your empire. And if the settlement is a castle, you don't need to worry at all as long as you keep a moderate garrison inside.
Citybuilding has been vastly improved and is much more fun than in RTW. BI was pretty good too, but the way culture penalties worked it was difficult to control cities with maxed-out buildings.
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