Yes or no, it depends on the texture that you prefer for your lemon curd. Although the zest cooks down and becomes very soft while cooking your lemon curd, you may want to pour curd through a strainer to get a smoother end result. If you happen to overcook your eggs slightly, straining the curd will eliminate any small bits of egg that show up in the lemon curd.  You can also choose not to strain your lemon curd to incorporate the zest into the finished curd.