Required, not really but why not make the call? In a two engine aircraft you're in serious or imminent danger. You're not going to continue the flight. You might even have a different departure route for an engine out that's not your clearance. If you're enroute you're not going to maintain altitude. By saying Mayday, Mayday, Mayday you open up 91.3, 135.19, 121.557 or .559, whatever rules you're operating under. They all say the PIC can do what he thinks is necessary to deal with the situation. In a three or four engine plane it isn't as critical so maybe just Pan Pan but you're still going to slow down or go down or both so you might need some priority handling.