Yes, you should, as with a Steel Idler there will be metal on metal contact. Not doing so will most likely result in premature wear. After I greased mine my transmission was smooth as silk.
The stock tranny can be greased, but its unnecessary. The stock gears are teflon and are self lubricating.
anywhere there is metal to metal contact of moving parts you should lubricate it somehow to prevent wear. The Emaxx transmision with steel idler gear is no exception.
I can't decide if its more fun
to make it...
or break it...
Always grease the transmission, pack as much in as you can. Stock transmissions benifit from this as well. The reason we started running grease in them was to absorb impact on the gears, and it works quite well. It will also lubricate the gears of course.