Do I Have To Select An Enterprise When Importing From Employment Hero?

No, this is not mandatory but highly recommended for management purposes. 

An Enterprise is a major income-earning business activity such as sheep, cattle or cropping. Any transaction can have an Enterprise recorded against it so Enterprise based reports can be generated.

Enterprises are optional and are only used in the cashbook when an appropriate item is encountered. The accountant does not require this information but you can allocate your payroll data to an Enterprise for detailed reporting purposes.