No you don't have to use a indicator. However it is helpful in faster water and/or older eyes. If you keep getting strikes on the connection consider switching to a dry/dropper combo. Where the dry fly is something very boyant..Like a "foamulator" (A stimiulator tied with foam) or a hopper. Then the top fly will serve as an indicator and will also catch fish if it hits. Attach the dropper line to the bend in the dry fly hook.
Using split shot depends on many conditions. If the water is fast and you cant get the fly down quick enough to where the fish are- then yes they are necessary. Or consider using heaiver weighted nymphs--maybe weighted with a beadhead and/or lead underwraps..(tungsten bead heads work best). Yes it will affect casting, but its better than not catching any fish due to the fact you fly is not in the "zone" - Your casting technique will improve using heavy weighted flies and/or split shot. You will find in many area of NC "casting" is not always necessary--Its more of a "High-Sticking" environment. Google "High-sticking fly fishing" for more info.
I will let Ralph answer the midge question
This is my $0.02 advice - hope it helps
Brannon