The quick answer is it depends on your work. We previously did an article on the purpose of heat inactivated FBS. But do you have to heat inactivate FBS?
Heat inactivation can be harmful as it can destroy some of the essential factors, such as amino acids, vitamins, growth factors. However, heat inactivation may be necessary when you are doing experiments that are sensitive to specific components, such as the complement proteins. It has been indicated that enveloped viruses are targets of membrane attack. So your experiments might not work if the FBS is not heat inactivated.