should I poke a hole in the candy
Yes, you can do this. Just be careful and do it slowly as to not kill or hurt any of the bees in the cage (especially the queen). It will allow the bees to release her quicker.
If you don't do this, it's OK, they will still work to release her and they will be able to feed her through the screen too.
I always mean to poke a hole in the candy, especially when introducing a package queen to her hive, but sometimes I forget.
I suppose that not doing it on a newly introducted queen will lengthen the time it takes to release her and she will have more time to take on the hive smell.