The answer to your question if the pilot in command was required to report this accident to the NTSB or FAA you may find in FAR 91.3(b) and (c) The question is (since he was not talking to FAA ATC) did they require a report? Further guidance you will find in NTSB 49CFR Part 830 Subpart B.
My best guess is the pilot was probably right that no report to the FAA or NTSB was required, if not requested by the NTSB or FAA.
Anyhow since that accident was investigated by Danish AIB they are required to report it to the FAA/ NTSB anyhow since the aircraft was US registered.
In my personal opinion (and I have flown CYYR to BGBW a couple of times in Senecas) he did not check the winds aloft. The other question regarding the pilots pre flight preparation is, what was his legal alternate airport?