Yes, as per manufacturer’s installation and operation manual and National codes, all oil-fired heating appliances should be inspected and serviced annually.  Although they most likely won’t need to be ‘cleaned and vacuumed’ every year like with your previous oil-fired appliance, the oil nozzle, oil filter  and air filters (if applicable) need to be replaced annually, also, this is a great opportunity for your service technician to verify that all the safety devices on the unit are working normally.  Refer to the maintenance section of your installation manual or enter in to a maintenance and service contract with your service or heating oil provider.