srunni, no you don't. I have setup Vista and XP, both retail and OEM versions on Macs before. Any version of Windows supported by Bootcamp will get read regardless if it is OEM or Retail. Microsoft and Apple may tell you a different story though. But from experience I know this is possible.
That's because the OEM copy of Vista you bought was not previously installed on any computer. You can directly purchase OEM copies (from Newegg, for example), but they are only installable on one hardware configuration. If you even change the motherboard on a computer running an OEM copy of Vistaster, you will have to buy a new copy. For this reason, an OEM copy of Vistaster that comes with a computer can only be used with that computer. Here is proof of that: Buying OEM versions of Windows Vista: the facts
. Some of the other downsides of the OEM versions (as the article says) are that you don't get a pretty box, a manual, can't return it, only include either 32-bit or 64-bit, and have no free support for 90 days. The cheapest OEM version of Vistaster is $99.
You should also keep in mind that XP doesn't follow this policy, so your experiences with XP do not reflect the new policies regarding OEM copies that Microsoft has for Vista.