No, that shouldn't be necessary. If you enable CB Integration in the admin area, we take care of creating the proper CB user for you regardless of that setting. That setting merely determines how the user's account is created and how they can login when returning to your site. The JFBConnect Configuration Guide has a more in-depth explanation of what Yes vs No means for account creation:
www.sourcecoast.com/extensions/jfbconnec...ration-guide?start=2 
Disable "Create New Joomla Users" with CB?
