^ I doubt that... In earlier versions of Nero, MKV might not have been supported. You might need to convert some formats if Nero didn't accept. But the support may have been added in later versions.
You just try to add a file in Nero Vision wizard, if it accepted the file it would go on with it otherwise it won't accept the file and that would be the case when you need to convert it yourself.
TIP: If you have any doubts of sparing CD-R. You can save the project as an image first and test it with a virtual drive e.g. daemon tools, see if it works like VCD on any supported player. If it seems fine to you then just load image into Nero and burn it on a disk. It won't need more time to convert or splitting or preparing video as the image is in the finalized state of a VCD.
I always do this way to burn VCDs or DVDs. It also helps saving time if failed on low quality CD-R. Because if you directly burn the project on a disk and if the process fails due to any reason, you would need to give whole time for conversion/preparation/splitting of video again next time.
So Prepare Video and save it as an Image first (Nero gives an option at the end of the wizard to save the image on hdd or to burn directly to disk). Choose "save image".
Then burn that image on to disk later...