No, you can leave pin 8 of the EthernetBlaster unconnected when programming the non-volatile key into Stratix® III devices, as Stratix III devices do not require 3.7V for non-volatile key programming, unlike the Stratix II and Stratix II GX device families. For more information refer to AN 512: Using the Design Security Feature in Stratix III Devices (PDF).
For non-volatile key programming of Stratix II or Stratix II GX devices, pin 8 of the EthernetBlaster connects to signal DESSEC_DISABLE of the voltage regulator circuit used to control VCCPD8 to supply 3.7V during key programming. This circuit is described in AN 341: Using the Design Security Feature in Stratix II and Stratix II GX Devices (PDF).