Should I also fill the wheels with water?
Since you're not registered, we don't know where you are.
Water will freeze, so pure water may not be the way to go (unless you're going to drain the tires before winter).
As far as "should you?", probably be a good idea. You've got a smaller machine that will need all the traction it can get. There's a backhoe and FEL, which moves the Center of Gravity up (not good!). Loaded tires will lower the C of G and provide more traction.
If you decide to load your tires, you may as well get the dealer to do this. But after having done it (first time last week) at home rather then pay for someone to come fill them...well, I can tell you it doesn't take a rocket scientist.