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 them during onboarding, then you just need to click the button 'Next step'.
However, it is recommended to connect them if you have them. Why?
Google Business Profile:
Kit will optimize the Google Buisness Profile every month. By not connecting it, you will miss out on Kit:
Optimizing the profile itself (e.g. the business description)
Building citations to get your NAP information on local directories
Creating weekly Google Business Profile posts
Creating FAQ's
Alerting you of any new negative reviews
Creating proposed responses for positive reviews.
Google Analytics & Google Search Console
Kit will use this information as part of the monthly performance report. Without this, Kit won't be able to report on this data.