You can lager under pressure or not. There is already CO2 dissolved in the kegged beer anyhow. I usually purge the keg, transfer, give it a shot of CO2 before chilling, chill, then just fill the head space with one more shot at service psi when it's cold to make sure the keg stays sealed. Check every week or so to make sure there is some pressure on the keg so it doesn't unseal.