Here the 1874 RLDS edition added the subordinate conjunctive that. The 1908 RLDS edition, based on the reading of the printer’s manuscript, removed this intrusive that. Elsewhere in the text, there are two other occurrences of “need(s) say” followed by a finite clause. In both these cases, the that is in the text:
More generally, however, the that is optional for finite clauses that complement the verb say (although in the majority of instances the that is there). For some discussion regarding the optionality of that after say, see under 2 Nephi 30:2; for a general discussion, see under that in volume 3.
Summary: Maintain in Mormon 8:26 the lack of that for the finite clause complementing say; both 𝓟 and the 1830 edition, firsthand copies of 𝓞, read without the that.