It makes sense to establish direct peerings with those route server peers with whom you exchange the most traffic and/or those that announce the most prefixes.

Reason is mainly redundancy, also some peers offer more prefixes or higher priorities on direct sessions.

But please be aware that the DE-CIX route servers do filter prefixes, "bad" prefix announcements are filtered out. If you establish direct sessions, you should do that filtering yourself!

The take-away from all this is that it is worth it to establish direct peerings/direct BGP sessions with select route server peers.