Sorry by my delay on the response but my account at hitachi havent been working properly for some time, I end up several days without access and idk why!
Well short anwser is:
NO you dont need another server. But even if you do you could make a integration with a SSO and open the saiku inside pentaho.
To solve the problem, well saiku CE do works pretty well on Pentaho CE 8.x as a plugin. I guess that the problem is how to find it! Download is now kind hidden, but you can find it from the official site at this url:
https://downloads.meteorite.bi/saiku3/saiku-plugin-3.15.zip
And make a manual install (unzip it at system) and it will work (But you will need a CE free license).
Of corse there is a worry since appeares that saiku-plugin (for pentaho) is no longer on the main line of "meteorite" and Pentaho CE let us (users) without any reasonable option for a OLAP client but for now as far as i know that remains the best choice.
Good lucky!