Are external components required for HLK-PM01?
The limiting factor is if you need EMI suppression. There are two reasons for this:

is to pass conducted emissions regulatory testing a choke is needed to prevent conducted emissions from SMPS's

is to prevent AC mains from passing noise to your device through the line


I don't know about chokes specifically, but if you want to sell this in a product determining capability will be asking the question: will this product by subject to regulatory standards. More specifically, conducted emissions on AC mains.
For UL or IEC testing, all the components must be certified, if the components are not certified then you'll foot the bill for the testing. So the first step would be to establish where you want to sell the product, then find the regulatory standards that you need for the product.
After that look for chokes with those standards.