Hi,
Yes, you still need to configure the PFC and SMB Direct policies even when configuring switchless RDMA environments. The reason for this is because the purpose of PFC is to pause the specific SMB traffic flow before saturation and packet loss were to occur. Also keep in mind that the PFC information is stored in the VLAN header, so this traffic will need to be tagged (even if it isn't going onto a switch) so it will have the correct PFC information.
You can also refer to our Converged NIC Configuration Guide at aka.ms/ConvergedNICConfig for our recommendations on configuring RDMA for converged network setups.
You can also help to validate your configuration using the PowerShell module Validate-DCB.
Hope this helps!