Hi Estelle,
As the case states "Very good applicants" do this. So, it is not table stakes (required) for you to proceed.
In general, as an interviewee, you need to solve the case. However, any additional business knowledge/acumen you have goes a long way in making you a standout candidate.
I do recommend that, in addition to casing, you build up your business knowledge! Read the Financial Times, The Economist, McKinsey Insights, BCG Insights etc. Research all the major industries out there, study accounting, supply chains, finance, etc. Any extra bit helps!