I've never been to that party, but took my kids to the Pirate and Princess Party a couple years ago and I'm pretty sure the parties all have the same basic extras (parade, fireworks, extra characters, etc.) My son was 3 or 4 at the time and his normal bedtime was 8pm. He is very schedule dependant and we've always (even now that he's 6) tried to keep him on his bedtime schedule at WDW. He did great until he got some minor injury ~9:30pm. He then had a major meltdown. We wanted to stay for the 10pm fireworks. He cried the entire time, through the fireworks, etc. DH took him back to the resort while DD and I stayed until the end. We didn't go to a park the day of the party and made the kids nap. Even so, the late schedule messed up DS for THREE DAYS after the party. The rest of us LOVED the party and all of the extras (great characters, candy, dance parties, short ride lines, awesome parade and fireworks) but it was totally not worth it to mess up three days of our trip with a grumpy kid.
If your child can handle staying up late, she will love the party. If not, I'd skip it until she's older. To answer your original question, a MUST DO? No.