you definitely do (there's no option to not install it AFIK).... if you can't find the icon - drop into desktop mode - navigate to x:\Windows\eHome - and launch ehshell.exe (that's what the shortcut you cant find points to).
I've spent all day playing with it - it's definitely there, try hovering to the top right, when the Charms bar appears, click the Magnifying Glass, WMC appears down the bottom of the Windows Accessories section - near Windows Media Player. Right click and Pin to Start. Hit the Windows key, and it will appear as a small square. Click on it your machine will switch to desktop and run MC...
FWIW, W8MC looks and feels just like W7MC, runs as a desktop app, rather than metro - so no boot to MC yet...