Yes, run setup when a new module and / or you change the version.
Yes some of all the assets are loaded when you run setup, but not all ... (which actually may have changed in 8.recent looks like 8.recent loads all the assets but that was NOT the behavior in 7.X as only the pipeline for enabled modules got loaded. )
I actually think we may be reducing/changing that behavior in the future so yes run setup with each new module to be safe..
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