No, you don't.
You can go with the following approaches:
1. Put all Sends on the calendar.
This way Engage has the best understanding of which Sends are upcoming and can make sure to reserve timeslots for the Sends with the highest priority.
2. Put no Sends on the calendar and just let the Rules do the work.
This way Engage cannot prioritize Sends, and each Send will be an unplanned Send, where Engage just looks if there are timeslots available for this contact to send the campaign Send (also referred to as just "Send/s").
3. Only put the most important Sends on the calendar.
This way Engage can reserve timeslots for the Sends with the highest priority. All other Sends will be considered unplanned and sent if there are timeslots remaining for each contact.