If you want the outside world to be able to email your other domains you will.
If you are just worried about one of your Zimbra users from domain1 to be able to email a Zimbra user in domain2 then I don't think you will need to.
I had that problem when I set up my test server back in '05. I created a domain name that duplicated the domain name on my old Sendmail machine. When I created my test account and tried to send emails to my fellow domain email users on sendmail it would bounce because Zimbra was looking at itself as the mail server for my domain and not going to my DNS server to find the actual MX record. Obviously I had no accounts set up as it was just a test machine so I could not send mail to my collegues.
Perhaps that has changed but you can just create a domain create a test account and see if you can send mail to it without making the MX record in your DNS. If it bounces then maybe the behaviour I saw in '05 was a bug and they fixed it :-)