If linking dynamically, you don't need to manually link freetype, no.
You shouldn't need to download them either way; they're provided alongside SFML in
SFML/extlibs.
Whether you should or not is a matter of taste/style, productivity and portability.
With dynamic linking you need to ship the (very few) SFML files with your executable. This is the easiest way, I'd say.
With static linking, the SFML stuff is stuffed inside your executable making it a fewer files, possibly reducing the number of files in your app by about 5..
But, with static linking, there are extra things you need to link and setup (defining SFML_STATIC, for example) so can cause some confusion sometimes.
Also, if you use the audio module, the OpenAL file
must be shipped with your app regardless of whether it is dynamic or static.
If you're going to be providing one library file, why not (up to) 6 more
?