The short answer: No, not necessarily.
The longer answer is that knowing how to program enables you to get more use out of your keyboard. So what exactly is the difference? To learn the answer, let's create some context first.
Firmware is software, but then for hardware. It's that simple! The firmware makes the keyboard work like a keyboard. All keyboards at splitkb.com can be used with firmware called QMK, which is short for Quantum Mechanical Keyboard.
Firmware is the way for you to customize your keyboard. The firmware decides which key does what, and you can customize the firmware to adjust that.
Firmware is also responsible for making other aspects of your keyboard work. It makes hardware such as RGB LEDs, OLED displays and rotary encoders work, but it also enables software features like macros.
The configurator is the easiest way to get started with customizing the firmware. It lets you decide which key does what and offers a lot of functionality of QMK within an easy to use web interface. With the configurator, you can get a hex file, which you can send (or flash) to your keyboard using the QMK Toolbox.
While the configurator does give you a lot of power, it doesn't enable you to use all of QMK yet. At the time of writing, you can't use the configurator yet to use rotary encoders, OLED displays or to use functionality like macros or the leader key. For most people however, using the configurator offers exactly what they want.
The configurator is powerful, but doesn't support all features yet. You need to work with code if you want to use an OLED display or a rotary encoder. Using features like macros and the leader key also aren't supported by it yet. Please read on below for more information.
If you'd like to use more functionality of QMK and want the full power that the framework has to offer, you'll want to compile your own firmware from the source. How to do that is explained extensively in The Complete Newbs Guide to QMK.
Getting started is easier than you think, though it helps a lot if you know your way around computers. I recommend reading the Newbs Guide referred to above to get a feeling for if it's something for you. Feeling slightly uncomfortable is of course the way that you learn new things, but if it turns you off, feel free to use the Configurator instead!