If we manage Configuration Set assignments via DaaS Machine Catalogs, do we still need to add the Machines to the directory object via AD any longer?

No, it will pull them in and show that is catalog driven in WEM. Or it did. I stopped using that method myself and went back to OU based to pull them in. Some people like using that method via Catalogs and some don't. I haven't had consistent experiences with the catalog way of linking a config set.

it's either, not both.