When I make a chain of squares with two triangles, I first set the stitches with an iron, then finger press the square open, and finally press the square open with the iron.
This is how I first learned piecing from a Diana McClun dvd. It’s automatic now and takes me only a couple of seconds. I don’t think it’s a must. I like doing fiddly things so it suits me. No, I don’t set the quilted stitches.