I'm using PreEmptive Protection Dotfuscator for winform executable .exe file.
Do I have to add Map.Xml and Dotfuscator1.Xml to Setup Project with other Dependencies to locate it in Program Files/MyApp directory, or it is no needed?
(Disclaimer: I am a developer on Dotfuscator and am answering this as part of my job.)
No, after Dotfuscator has run and created a protected/obfuscated .exe file, you typically do not need to involve the Map.xml or Dotfuscator1.xml files in any later step of your build process. Your protected .exe file will be able to run without them, and they are not needed when building your setup executable.
In fact, these files contain sensitive information that could be used to undo parts of the obfuscation. Do not add these files to an installer project, packaging project, or anything that could potentially leave your organization. For details, including how to handle these files as part of your development process, see my answer here.