The short answer is no; you don't have to connect your Google Business Profile account within this section of the onboarding setup.

When onboarding, you will be able to set up your Google Analytics, Google Search Console, and Google Business Profile Account.

If you don't want to connect during onboarding, then you just need to click the button 'Next step'.

This section is primarily for businesses that operate within a specific area/region, for example, a plumber who operates only within their local city. This is called Local SEO.
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This section is not as important if you serve customers nationally or internationally.