I don't think it's necessary, because we end up seeing it anyway when the Talosians make Pike relive it.I wonder whether it would have made for a better pilot to see the "episode" before The Cage that resulted in Pike's funk rather than witnessing the aftermath with only allusions to what occurred.
Not really....we see him and Vina go into a castle and get attacked, but there's no real context, and certainly nobody gets killed.