Do I have to fill all SIM card slots with SIM cards?

No. It is also possible to use only one, two or three SIM cards. The modem can also be operated only with the WAN connection, i.e. completely without SIM cards. Which slot is used for the SIM cards has no influence on operation. Only the APN settings must always be correct. If the reception of a card is extremely poor at the location, it makes sense to remove the SIM card and only work with the remaining SIM cards.