Nope. As long as you've got room for a 9-volt battery in your existing control cavity, there's no need to add another hole in your guitar for the battery. The big advantage of having a dedicated battery cavity is that you can get one with a snap-down hinged lid to make battery changing very easy without requiring any tools.
I've got an active pre-amp in one of my guitars and the electronics and battery fit fine in there. However, JEMs, UVs and RGs do tend to have really tiny control cavities, with barely enough room for two pots and the five-way switch, so your mileage may vary.