Whiskey stones are interesting! Of course you don't need them. They only provide the convenience of a colder drink longer, while they don't do anything to change the quality of the drink, which is a benefit and a drawback.
Whiskey stones are usually soapstone, which is not going to allow whiskey through them or dissolve into it. They're non-porous and hold cold decently.
Putting either a splash of water or ice in your drink will always make it smoother for two reasons. One, it lowers the proof. Two, it makes it colder, and you taste that bite less when it's colder because your tongue is numb, and because alcohol has a very low boiling point compared to water (it will rise quickly if it's warm, affecting the aroma and flavor).
If you want to learn to appreciate whiskey, it's worth appreciating at more than one temperature. It is true that YOU can generally taste more when your tongue is warm, but it's not true that the whiskey expresses the same way. Different expressions come out at different temperatures, and the bite changes as well, but ice/water will always open up some of the whiskey's flavor, and many whiskey makers recommend seeing how theirs develop with a single cube. I always try it neat first to see what they put in the bottle, then will often see how water affects it.
Whiskey stones are most useful if you want whiskey cold like it's on the rocks but you don't want to drink a glass of barley water.