Anchoring and Wind
Any roofed structure catches wind, and a closed roof catches more than an open one. Anchoring transfers that load into the ground or slab. The method depends entirely on what is underneath - concrete, pavers, decking or soil each need a different fixing.
A roof is a sail
The wind load on a structure rises sharply once the roof is closed and the sides are draped or screened. That is not an argument against closing it; it is the reason anchoring is not optional on anything meant to stay up through a year.
The surface decides the method
Concrete slab. The straightforward case - expansion or wedge anchors into sound concrete, provided the slab is thick enough and not cracked at the fixing point.
Pavers. A paver is not a foundation; it sits on sand. Fixing to one anchors the structure to a loose stone. The usual answer is to lift the pavers and set footings, then replace them around the posts.
Decking. Fixing has to reach the joists, not just the boards.
Soil. Footings below the frost line, which is a local figure rather than a general one.
Before and after
Before: check whether a permanent structure of this size needs a permit where you are. Rules vary by municipality and by footprint, and this is not something a manufacturer can answer for you.
After: bolts loosen through a first season of thermal movement. Check them once after a few weeks and again after the first winter.
Anchoring specifications, wind ratings and permit requirements are set locally and by the manufacturer's own instructions. Nothing here replaces either.
Questions
Do pergolas need to be anchored?
Any structure meant to stay up through a year does. A roof catches wind, and a closed roof catches considerably more.
Can a pergola be anchored to pavers?
Not to the pavers themselves - they sit on sand. Footings underneath, with the pavers replaced around the posts, is the usual approach.
Do I need a permit?
It depends on where you are and on the footprint. It is a local question worth asking before ordering rather than after.