It's not "required". A shop wouldn't, but I would, particularly if you live in a region prone to rust. I'd use a silicone paste grease like I do for brake work, as it tends to have a longer lifespan than petroleum based greases in a use where you are sealing an area rather than lubricating metal-on-metal wear, but I wouldn't buy it for just this purpose, anti-seize would work too if you have that.
Don't get it down in the bolt threads, don't want to have to guess what the resultant overtorque to compensate, would need to be with lubed threads. Mainly just put it in the large hole in the knuckle since rust there is what makes hubs hard to get out... in the areas where you cleaned the rust off. BTW you did a great job cleaning that up!
