Not at first but later as the nutes start running out I would. Depends on the water too. With RO or distilled I add 1/2 the recommended dose just so there's something in the water and it's claimed to help with nutrient uptake.
A lot of hype about CalMag being some sort of magic bullet but I don't see any difference from years back when I never used it with RO water in DWC and never saw Ca deficiency tho would use Epsom salts to help with low M symptoms. Using AN nutes at the time and still do but trying out Mega Crop and it seems to work fine.
Depends on your nutrients. I've never used calmag in years of growing including hydro. I've never had a calcium or magnesium deficiency. The inexpensive not name brand with fancy label nutrients I use have everything in them to begin with so you don't have to buy a bunch of other stuff that should already be in the base nutrients.
with RO you might need it but you're better off foliar spraying with cal/mg if you see a deficiency.
so i would not use at first, see if you need it, foliar to fix the problem quickly, and then add 1/4 of the recommended, then 1/2 then full dose until you don't see the problem any more.
Typically you see people using CalMag with RO water, and/or running hydro setups since most soil already has a fair amount of these two elements already present. Just start low on the dosage if you decide to use it alongside your fox farm, as it does contain a bit of Nitrogen.