No you don't, but all I can tell you is when I had my previous one replaced this time last year the new one I recieved just came with no packaging etc, where as this one I recieved had plastic film over it and was in a bag type of thing with a sticker indicating it as new.
I had the same.
All with plastic covers, in a brand new and sealed PS3 box - sadly I got no cables or extra controller. It was in a brand new shell but it was refurbed inside as I was told by Sony, but tbh, if it looks new who cares.
My two Dutch cousins somehow managed to cover my current one in jam which is annoying (as well as managing to crack my Rock Band drums).