No, you don't need to show the .NET EULA. You are only required to have a valid license to a .NET SDK (which you get with Visual Studio). If you were required to show a EULA, the dotnetfx.exe would not have a silent install option.
The EULA for the .NET redistributable is here: http://msdn.microsoft.com/en-us/library/ms994405.aspx and makes no mention of having to display a .NET EULA.