Yes you do, though once done you never have to see it again as you can hide it via the setup windows layout in the top left hand side of the mix console view.
Before you do that, go vst connections-Studio, switch on the control room, it will turn blue and the configuration next to it can be set to stereo. Click on the various buttons in the bottom of the control room and set to your taste. You can also set the “listen” level in there that will boost level of a track by pressing the “L” on thr console, that will allow you hear a part louder than the rest of the track without having solo it which is cool! You can also set other ins and outs as well as cue mixes ect from the control panel.It only has to be done once, you can forget about the control room part then, just hide as mentioned before and recall it if you need
Oh! One more thing, in the bottom part of the control panel, left hand side, you should switch the “Mix” button on and set the signal level up to a comfortable level for yourself, if you don’t do that, the level control slider on the transport bar won’t work, that’s an essential to pull the whole level down quickly when you need to