Not clear if you were referring to yourself hypothetically or to the OP actually, but if the latter, he does not. It is sufficient to waitlist with DL. They will notify you to contact an agent if the upgrade clears. (Indeed, Z may never open as the waitlist simply continues to clear.)

For my part I have taken reasonable risks in buying M's when no Z was available, and haven't missed an upgrade yet (though the sample size is statistically almost insignifcant, perhaps 6 or 7 flights; and I haven't done this when J was already showing full-ish, which is not the case for your flight). My understanding is that DL's new-ish policy of allowing day-of-departure upgrades (if you are already waitlisted) means that they won't usually send out J with empty seats if there are waitlistees.

Oh, and I am extremely skeptical that a kindly DM agent can be persuaded to persuade RM to open up a fare bucket, except where DL is rectifying its own foul-up.