Do I need to prove this? I am using ABE scheme that has already proven under BDHE assumption. Here is the scheme https://eprint.iacr.org/2008/290.pdf 

In the key generation algorithm, I want to tie the user secret key components with a message $m∈GT$. $m$ is different from the one used in the encryption algorithm.
I did like this 

$S=M.e(g^t, g^d) = M.e(g,g)^{td}$  where $t,d∈Z$ are randomly chosen.
$t$ is used to tie all other secret key components together. 

$S$ will be given to the user along with the secret key which have these components $(K=g^bg^{at}, L=g^t, h1^t, h2^t, …)$ 

$d $ and $g^d$ will be kept secure with the authority. 

My question, do I need to re-prove the security of the scheme considering $S$
I purposefully did not look at the details of the change you are proposing because whatever the change is, the answer is a resounding YES. If you make any change to a cryptographic construction, then you must prove the security of the modified scheme. If you are lucky, you may be able to reduce the security of the modified scheme to the original scheme, or you may be able to reuse a lot of the intermediate claims of the proof of the original scheme. However, you must prove!