Hi,
I would like to apologize for the extremely long delay in response. It seems that no one was subscribed to this particular section, and not receiving the email notifications, after the original post was approved/moved. I'm very sorry for the inconvenience.
I imagine that you likely have moved on and made a decision about this by now? If not, I'm not aware of anyone who has tested this out, but I would likely recommend that the 9km intermediate domain is probably necessary. Without it, you would have about a 9:1 ratio between the 0.25 degree input data and the 3km resolution domain, which is a bit of a jump (we typically don't recommend anything smaller than about a 5:1 or maybe a 7:1 ratio). That being said, I can't say this with absolute confidence without having previously tested it, myself. It may be worth it to run a couple of small comparison tests to see which results work best for you. It may also be noteworthy that even though including an extra 9km would add some extra computing time, the amount would likely be fairly insignificant compared to the computing time for the 3km domain. Again, a couple of quick tests may help you to make a decision.
Kelly