Do I need to add additional cellular service for watch before I set it up

No. You can choose to set up cellular service on the Cellular Apple Watch models if you want to, but its not required.

However, if you bought the cellular model and do not activate cell service, then you paid more for something you won't be using.

The GPS only models are cheaper, but cannot use cellular service at all.

No. You don't actually have to ever set up cellular service on Apple Watch. But you'll always have to have your paired iPhone with you for your watch to function.