I don't know if you're supposed to go through all that rigmarole every time you start, but it looks way too complicated for me. I want to control the power with my right foot while I'm driving, not with my fingertips before I switch on.
If it's anything like their EMCS system for the 1.8T, then no...you don't.
It just gives you the option of having several maps stored and using the Cruise stalk to select them - there is a Security program too...but you can also have different performance maps.
I had (on an S3) 'standard' map, 95 octane high boost and 98 octane silly high boost maps...useful if you get caught without access to the high octane fuel.
You could cycle through the maps using the Cruise stalk, even do it whilst driving - although that wasn't recommended.