Do I need to recompile blender when changing C++ Shaders for Cycles? I just needed to know the way of developing native cycles shaders (closures).
So, if I change, for example diffuse closure(another implementation of roughness), will I need to recompile Blender from source? Is that right?
This is correct, C++ shaders in Cycles require rebuilding Blender.

Note that OpenShadingLanguage is compiled using LLVM, so it should yield fairly good performance and doesn't require rebuilding Blender,