No, he shouldn't have to install anything to program another key, in fact once he cut it you could have programmed it yourself with instructions that are availiable around here somewhere.
Whether you take it back is up to you, if the box he installed (no idea what that is, some sort of booster probably) doesn't bother you then no reason to take it back, but when you paid the dealer what you did for that key ($400 right?) I personally would make them program it properly.