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No, you just need to save all your receipts for the oil, filter, and any other items purchased to show you did the service. Then personally I do occasionally let the dealer do one.
For the first service I would always let the dealer do it, this way you can catch any early signs of engine/Trans wear or other issues. Check out the Magnusson-Moss Act. Nothing voids your factory warranty unless the direct part or product used causes the damage. Such as if you install a PC III and it burns up a piston due to improper fuel to air ratio. Dealers have a very good way of scaring people with statements that are not always true. Hope this helps.
My bike is at the dealer for the 5K as I type this. You absolutely do not have to take the bike to the dealer to keep the warranty. I use the dealer for scheduled maintenance while the warranty is in effect so that I don't have to worry about their BS if I have a warranty issue. I don't have any particular faith that the dealer will do any better than anyone else, but at least I have a record that they can't squirm out of. Once off warranty I try to avoid the dealer like the palgue. Ride Safe!
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