Should you? It depends. Why do you want to root it? Is it worth the security risk (and the risk of bricking your phone should something go wrong, although very minimal with phones these days?)? Rooting opens the door to a lot of custom 'hacks' that add cool functions to your already awesome phone, but also leaves the door open for security exploits and accidental mayhem; since you have now full access to your phone's files, it also means that you can delete or overwrite stuff that shouldn't be touched, effectively borking your phone for good.
Security concerns aside, should you just root, nope, you don't lose S-Pen or Multiwindow functions. Quite the opposite, in fact, as you now can add MORE functions to your S-Pen and add multiwindow support (although sometimes buggy, depending on the app) to ALL apps in your phone. BUT Samsung is very smart when it comes to detecting these things, so your phone will know you've tampered with it, effectively voiding your warranty and not allowing you to receive OTA updates.
Now, once you root, you also have the option to flash a different custom ROM. Depending on the ROM you install, you MAY lose S-Pen and/or MultiWindow, depending on which features the developer included in it.