In order to use Immerse Gamepack FINAL FANTASY XIV Edition, do I need to change Game Audio Settings?

Yes, please go to system configuration and make sure you have 'Enable Immerse Spatial Audio' checked.

We also recommend setting Listening Position to 100 (Character) for the best spatial audio experience. For additional information, check out the below video: 

Related Article:

How to configure in-game FFXIV Sound Settings?