It certainly won't hurt. I can't find anything that specifies whether the Celeron will function without it, however since it is based on the same design as the P4, it probably will be more stable with it connected. Some boards won't even boot if it's not connected. If you have an Asus board, you have their extra connector that lets you connect the standard 4-pin Molex power lead, however you don't need to connect that if your PSU has the ATX12V connector.