If you want to use the elasticsearch Python module then yes, like any other 3rd party Python package, it needs to be installed. We recommend you do install the package in a sub-directory of your Analyze installation's 'site' directory. This is because this location is maintained during the upgrade of the Analyze application software. The directory you install the package into can be named anything you like for instance <site>/python/site-packages - however you will need to ensure that this directory is added to the search paths being used by the node to find installed packages. You can include this directory by adding a a couple of statements to the start of your Python script.
import sys, os
sys.path.append(os.path.abspath("/path/to/directoryContainingInstalledPackages"))
Note that when using the Transform node and Generate Data node (which are Jython-based), the recommended directory is <site>/lib/jython2. From Analyze release v.3.6.4 this directory is already included on the library search path so the Jython-based nodes will automatically find packages installed in this directory.