You can cook meatballs in sauce without browning them, but you don't get the added flavor from browning them first. I think this really depends on personal preference - I like them to get that nice crust on the outside before adding them to tomato sauce. This also helps them hold together. One thing you can do is bake them long enough to brown them on the outside and then finish cooking them in the sauce on the stove. That's the best of both worlds!