Good question. In my experience, it's not really needed if the specimen appears stable and doesn't exhibit any outward signs of rust or lawrencite disease.
Stones are a special case. For the most part, they are very stable for collectors. They will rot if left exposed for prolonged periods in the field, exposed to the elements. But, in the average collector's air-conditioned environs, they hold up very well or indefinitely.
However, a few stones are known to be problematic. I didn't mention them earlier because the original post was about irons, but I should list them now. Also, the main culprit that afflicts stony meteorites is "lawrencite disease".
Ghubara - this one can be a prolific ruster and is prone to lawrencite. Why? Honestly, nobody has studied it and nobody can say for sure. I think it's a combination of long-term exposure to irregular rains on the semi-arid Omani plateau, and improper handling/storage/preparation in subsequent possession of hunters, middle men, and dealers.
Ghubara (and some others) may develop little reddish or brownish spots that look like common rust. In fact, it is a reddish fluid that is the result of a chemical chain reaction in the meteorite itself. It will soon weep more and more. You can wipe it down, clean it with a stiff brush, and bake it in an oven. And it will help the appearance, but the lawrencite disease is still lurking hidden in the matrix of the meteorite. It will continue to "bloom" these little beads of rusty liquid and the specimen will actually start to break down and become more friable. Slices may break or pieces will break off. Brecciated meteorites with this affliction can actually fall apart over time.
The cause of this is the introduction of molecular chlorine into the matrix of the meteorite. This is due to terrestrial contamination in the vast majority of cases. For example, using tap water as a coolant during cutting will introduce chlorine into the meteorite. No matter how well you dry the specimen afterwards, the chlorine will remain - it will react and bond with some of the material in the meteorite. These reactions produce a variety of effects, but the most noticeable is the weeping of reddish fluid.
This can be completely avoided by using distilled water during cutting and polishing. Baking them in the oven afterwards is a good "double-whammy" to prevent stability issues in prepared specimens. Any dealers reading this who do not use distilled water and baking, please take notice now. The most important step in any prep is the saw coolant and distilled water is essential to avoid contamination of any kind. (lawrencite or otherwise)
Back to the point of the original post, no, you don't need to bake your meteorites. But, if they exhibit signs of problems, then you might want to consider it. If you stick to oven temps of about ~225F to ~240F, and don't bake for more than ~16-20 hours, then you cannot hurt a specimen by doing this.
Be careful baking etched irons - high temps and prolonged baking can damage the appearance of the Widmanstatten pattern and may require the meteorite to be re-etched.
PS - that's the short answer.