Yes, you do need to copy the addons to your Universal Forwarder.
The TA-XA-Server addon should go on all your XenApp servers.
The TA-XA-Broker addon should only go on one server for each farm. If you have a dedicated Zone Data Collector in your XenApp farm, copy the TA-XA*-Broker addon there.
It is possible to monitor XenApp without Universal Forwarders, but I do not recommend doing this unless you are just collecting farm and session information. Collecting process, performance, and ICA latency information is better suited to use with a Universal Forwarder.
There is a folder in the app download called "docs" that contains the documentation.