No. If you’re adding a TCastleControl to your already-working Lazarus project (not a “simple program” but an “Application”), nothing more is needed - Lazarus will make everything for you. Of course, you’ll still need to add and use events, like OnRender (to draw something on TCastleControl) or OnPress (to receive keyboard/mouse events) or OnUpdate (to do something every frame) - but that’ll be “Extending your code” to use Castle Game Engine.
You’ll need to start with a “simple program” only if you want to use TCastleWindow, e.g. if you’re planning to port your game/project to Android or want additional features, like a full-screen mode. UPD: note that even if you start with TCastleControl, you can “translate” your code from TCastleControl into using TCastleWindowBase - however, that’ll require some reworking of how the application is initialized and manages GUI elements.