Definitely. Level in 3 directions if possible.
Rain will miss the tipper in the rain bucket if not level and you won't get an accurate reading. If you wind unit isn't set perpendicular , then it won't read the direction but tend to drop back to the angle to the ground. Solar and UV sensors , should you have them, will give odd reasons .
Definitely it is worth the effort. If you are digging the post and all the work involved, why not do it correct the first time.