When using a PC, no, you would not have to set the Master/Slave relationship, since the PC is the Master and any XBees are the Slaves.
But when you are using two or more XBees that are to communicate with each other, with no PC involved, one of them is set to Master and the other(s) are set to Slaves. And you also set all of the PIN Codes to the same value as the Master. The Master then can auto-link to the slaves without any interaction, once it is powered on.
In this thread, there was no reference to how the XBees were configured other then multiples were being used and the logic posts are uProcessor related, not PC related.
Since XBees are just basically UARTs in communication over a wireless signal, the UART Standard states that one device is a Master and others are Slaves. It is a something that can not and will not change in the UART Standards. Many times when Users have issues with multiple devices in communication with each other, it is because of the Master/Slave relationship and none of the devices (XBee or whatever) are set as a Master. If a device is UART in its foundation, there needs to be a Master.
In the case of XBee devices, yes, they are bi-directional, but without a Master they all start talking at the same time and even overstep each other, causing scrambled communications and errors. Having a Master ensures that it then instructions each individual Slave as to when and for how long it can send or receive its data packet across the UARTs, and also manages the spectrum hopping between itself and all the Slaves.
If a PC is in use and 2 XBees … and one is attached via wire to the PC and the other is Remote, then the one on the wire/PC is set to be the Master and the remote is the Slave. If both XBees are remote and communication is to the PC directly, the PC is the Master by default and the two remotes are Slaves. Which do not ever need to really be checked because most XBees ship from Factories in the Slave Configuration. But one should always check that, if there are issues with them not communicating properly.
In the most basic of terms, the Master is the device that controls the CTS and RTS of the signals. Without it, all the Slaves think it is clear to send or clear to receive packets and that is why they scramble up their data. The Master controls the CTS/RTS and also the hopping in the wireless spectrum and usually will have multiple Slaves under its control, assigned to an individual spectrums and then act like a wireless multiplexer and shift itself around between all the spectrums in order to have stable communication with each Slave. The reason for that is the UART Standards. One Master, One Slave. But with multiple spectrums, one Master can hop between the spectrums and talk with multiple Slaves, each in a different spectrum of the wireless signal.