This is a must in my opinion, thin ply will give you a solid base for the downlights to hold to. I have seen many installed that when the user has had to change the lamps the whole fitting has come down with no solid hold left.As for sockets in lath walls I try at all costs to avoid it, for some reason I find the walls less stable then the cielings, but if you have to then use a new padsaw and be gentle, if it falls apart cut away more of the wall and apply battons to the original wood, then plasterboard where you need the socket neat job safe and secure, and less likely to be damaged during normal use.