You can, but you don't have to. I like to brown a small leg of lamb before roasting so that the exterior gets a bit crisp and the fat renders quickly. This keeps it from getting overcooked on the inside while you're waiting for it to brown on the outside. If you have a large leg of lamb, browning it in a skillet will be difficult or impossible, so cook it at 450 for the first 15 minutes to brown it instead. Since it's larger, you won't have the danger of overcooking.