I'm trying to use the 'thread making screw' to ground my Dell PDU to the Rack, however the metal on the rack is impossibly hard. Is this even required? The included screws don't even seem "thread making" or "self tapping".
Never heard of that "thread making screw" procedure (which isn't to say it doesn't exist, but I've never seen it).
Most racks will have an earthing lug on them - Just bolt the PDU's rack ground line to that & you're all set (as a bonus that lug is usually bonded to all the metal bits of the rack so you're guaranteed to be grounding everything that should be grounded).
As to whether the grounding is necessary, it's certainly a good idea (If something goes catastrophically wrong and mains power somehow gets shorted to the rack rails this gives it a better path to ground than "via the datacenter technician's body"). Necessary may vary according to local codes, but I would definitely recommend it.