You don't have to glue them since the pegs fit in pretty tightly, but everybody I know does. The terrain in that starter set is great, wish they had more cardstock stuff instead of ridiculously expensive plastic.
Very important question: are the nurglings built into the bases or are they separate?
Oh also as for kits being different, IIRC this starter set is just a collection of all the monopose minis they sold in blind boxes a few years back, so they're a bit atypical, but generally I'd say there's much less focus these days on customization.