Looking at the manual for your motherboard from MSI’s website, it says the following:
Always insert memory modules in the DIMMA2 slot first.
So no, it’s not just a recommendation. It’s a requirement, although the wording on the diagram in the manual is misleading. You must always install the first module in DIMMA2, but it’s up to you how to install after that first one.
You certainly want to follow the manual’s recommendation when it comes to which slots to use, as installing the memory incorrectly could limit memory throughput significantly (you want to be able to leverage dual-channel memory whenever possible).
The slots on your board are labeled DIMMA1, DIMMA2, DIMMB1, DIMMB2. DIMMs A2 and B2 should be filled first to leverage dual-channel memory. If you put one in A2 and another in A1 or B1, the machine might boot, but it will not run in dual-channel mode. Follow this diagram for installing memory (also from the manual):