No. CDC and ACIP express no preference for preservative-free vaccine for infants or any other group of vaccine recipients.
No scientific evidence exists that thimerosal in vaccines is a cause of adverse events unless the patient has a systemic allergy to thimerosal. However, some states have enacted legislation that restricts the use of thimerosal-containing vaccines. Check with your state immunization manager to see if your state is one of them (www.immunize.org/coordinators).