Not always, but it is recommended, at least for the main characters you are making. Converting, even if it is just a head and weapon swap, will give you a unique model that no-one else has. And finding an interesting conversion will give you a model with a lot of character and personality, and it is exciting to see these characters appear.
If your focus is just making models for playing games, that is fine too, but AoS28 is mostly about making characters and unique models.
If you are worried that you are not good enough to make conversions, then don’t worry! Any level of skill is fine: don’t let that put you off. You can ‘kitbash’ by using the head from one kit on a different body, or any sort of simple conversion that doesn’t require cutting up an expensive kit. Converting is fun and much easier than you may think. You don’t need to be a greenstuff master to join in: there are some great tutorials on Warhammer TV.