I've replaced a few windshields over the years and every one i've seen the headliner is wrapped over the ridge that holds the windsheild seal in place. So to do it properly, yes you should. Now you can cut the old headliner at the seal, and tuck the new one under the seal. If you do a good job most people won't notice, unless they look real close.
Disclaimer: The newest vehicle I've replaced a window in was a 1990 VW Vanagon. Some newer cars and trucks use a different type of seal, so I don't know if they still do the headliner the same way.
Jay