DFC, Foxy Loxy et al - I suggest you actually learn the definitions of "MAYDAY" and "PAN".
With those definitions in mind - my answer isn't "Yes" or "No" but "depends on the situation" - however, I suspect in most of the cases (and indeed, in my engine failure event) anything greater than a PAN isn't necessary.
I had a "thump" come from the engine at top of climb. MP dropped dramatically, no other indications, no increase in MP when adjusting the throttle. Was this a MAYDAY - no, of course not. I just shut the engine down and carried on to the destination (which happened to be the maintenance base). Being light, with no structural damage, and only a short journey I didn't even declare a PAN - it WAS NOT an emergency. I advised ATC of the scenario, told them there were no other problems with the aircraft and carried on.
Rest of the journey - including the approach and landing, totally uneventful.