Do you mean it is a plastic box? If so, you do not need to, it gives somewhere to park additional earth wires (the same applies to plastic boxes for light switches etc).
It is of course absolutely essential that you put the earth cores from both the supply and the load cables tinto the earth terminals of the CCU itself.
If the box is metal, then you must earth it with the terminal. This can conveniently be done by linking to the the earth terminal of the CCU with a 150mm length of G&Y sheathed.
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