The change should be done on all MOSS sites, which will use the editor. It is required if you have deployed the editor assemblies in the bin folder of the MOSS site. If the editor assemblies are in the GAC (e.g. you have deployed the solution for all content URLs), then I don't think that you need to change the trust level. Just try to open the editor and if it loads fine then you can skip the trust level setting. However, if you see an error page, or the editor itself shows an exception like "Request for a permission of type...", then you will have to modify the Web.config.
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