It will work fine over the plywood. As to putting something underneath, often that is a good idea, but it depends. If you're tiling around it, the walls and floor will lock it in place. But, if the thing doesn't sit flat or has voids underneath, You probably want to put more than thinset under it. Often, they recommend deckmud (a mostly sand and cement mix). The goal is a fully supported (not necessarily adhered) pan that is both level and not able to rock or deflect. If you ever decide to remodel, having it adhered might give you or the remodeler unnecessary fits.