Do I need to clean fingerprints from the SOX bulb before turning it on?

Not especially, but I always do, it's part of my autism I suppose, I always wear cotton gloves to handle lamps, even if they don't strictly need it. Besides, it's nice for lamps to be clean.

As Ria already stated it does not harm the lamp if it has fingerprints.
Over two decades ago in my apprenticeship I had an argument with a friend and former workmate which I told him that he has to remove his fingerprints off the new lamp because it will destroy it. He told me that’s untrue and he was right. Nothing happens at all. A little later I have learned that the coating is inside of the lamp and not outside.

I just think it's a good habit to always wear gloves. It keeps the lamp clean and avoids the possibility that you might forget one day when you pick up a lamp such as a halogen lamp that does need correct handling.