Like Franca said, it's a matter of personal taste. However, after looking at the recipe
and the enlarged photo of the finished dish I would say yes. The pith, the white part between the zest and fruit, is tough and very bitter.
The first thing I would do would be to use a vegetable peeler, or a zester that would give me long stips of zest - not a microplane zester, and remove the zest. If you use a vegetable peeler you can then use a knife to cut the zest into thin strips.
Then, peel the oranges and cut the sections from membrane seperating them, called supremes - here is a page with photo instructions
on how to do this, here is a video
showing how to do it. Then, you can cut your supremes into chunks the size you want.
Finally, when you combine everything - add the zest you removed in the beginning. How much zest is up to you - but I would probably go with no more than 1/3 - 1/2 the zest from one orange.
Hope this helps.