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No, as far as I can tell, you don't. I ordered some a while back and just haven't installed them yet. The eBay vendor that I ordered them from included a page of instructions with the bleeders and nothing was mentioned about saving the original o-ring.
I just screwed them in slowly. Bottomed them out, hooked up hose, backed one out 1/2 turn and slowly pumped the lever. Refill reservior often. Pretty cool gadget. Did both fronts and pumped all new fluid through both calipers in less than 45 minutes. No H-D parts were re-used.