Do you have to drill into the door to use 5800MICRA?
You could, but it is not necessary. The magnet portion of this device goes on the door side. You do have to drill in the jamb for the transmitter, but the magnet comes with double-sided adhesive so if you have space between your door and jamb then the magnet can be mounted with just this adhesive.
If for some reason you don't have that much space between the door and jamb then you could recess the magnet into the door by shaving or drilling out a small space.