Should I be doing PID auto-tuning with my fan at 100% (Anet A8) I'm using an Anet A8 with Marlin 1.1.6.

I've read countless guides on PID auto-tuning and never saw that the fan needed to be on, but when I look at the Marlin source code's ANet A8 configuration (here: example_configurations\ANet\A8\Configuration.h) it states:

  ...

  // ANET A8 Standard Extruder at 210 Degree Celsius and 100% Fan
  //(measured after M106 S255 with M303 E0 S210 C8)
  #define  DEFAULT_Kp 21.0
  #define  DEFAULT_Ki 1.25
  #define  DEFAULT_Kd 86.0

#endif // PIDTEMP


So, should activate the fan before running the auto-test if I wish to update the PID values in Marlin for my Anet A8?
You should run the fan at what you expect it to be at the majority of the time it is printing.  If you tune at 100% fan and never use a fan then it will be too aggressive, if you tune at 0% fan and use the fan then you will struggle to maintain/reach temperature.