If you are installing Delphi only, then it is typically not required., except for:
- If you create MSIX files for Microsoft Store usage, then you need the latest SDK
https://docwiki.embarcadero.com/RADStudio/en/Windows_MSIX_Support#Win_SDK_Requirements_for_MSIX
- An alternative reason would be to use rc.exe as the resource compiler (Project options->Building->resource Compiler->Resource compiler to use which is Borland Resource Compiler brcc32.exe or Windows SDK Resource Compiler)
https://docwiki.embarcadero.com/RADStudio/en/Resource_Compiler_Options
https://docwiki.embarcadero.com/RADStudio/en/RC.EXE,_the_Microsoft_SDK_Resource_Compiler