Do we really need a Load Balancer between Workflow Manager Farm and SharePoint ?

Well , It  depends .

If you have a Workflow Manager farm (more than one server) and one of the WFM EndPoints recieve a request without any load balancer ,it balances the load across the WFM servers .Yes thats correct . WFM farm have an internal load balancing mechanizm to do that.

WFMwithoutNLB

But if you don’t use a load balancer ,WFM only balance the load , not switch between endpoints if active endpoint dies . There is only one endpoint be active at a time . And if something happens on that EndPoint or its host machine then you may face an outage even your other servers are alive. Because SharePoint knows only one endpoint url and it is not reachable.
WFMwithNLB

So it depends that how much you want a high availability . Actually in real , load balancer is resposible not to share load , just keeps high availability if an endpoint dies  between your SharePoint farm and WFM farm .

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Can we configure Exchange Autodiscover with My Site Host URL for SharePoint 2013 ?

it is only possible for Exchange 2013 and SharePoint 2013

You can find the details and scripts in below article
Configure Exchange Autodiscover with a My Site Host URL in SharePoint Server 2013
https://technet.microsoft.com/en-us/library/dn217895.aspx

What about if we use Exchange 2010 ?

No. It is not possible for Exchange 2010

It will not work for Exchange 2010 because the script tries to update the property named msExchServiceEndPointURL which is new in Exchange 2013.

[string]$propertyName = “msExchServiceEndPointURL”
Write-Host “`nProperty name: $propertyName”

Therefore, it is expected that you receive error “Error setting property” when you have Exchange 2010 server with Exchange 2010 schema. http://technet.microsoft.com/en-us/library/bb738144(v=exchg.150).aspx

https://social.msdn.microsoft.com/Forums/sharepoint/en-US/05b6192c-d4d6-40c6-a35b-44fcde179a1d/autodiscover-sharepoint-2013-error-setting-property