You don't "need" it, but if you want the server exe application to be launched whenever the Windows OS restarts and without any user login, then yes, you need a Windows Service.
You can simply use the regular Delphi Windows Service template and start your XData server from the OnStart event.
You can also use Sparkle.App unit to make your existing VCL app become a Windows Service app. You can learn more about it here: