It's not so much that you *have to*, it's just that it is likely to happen.
As you grow older, the cartlages in the ribcage (specifically around the sternum) lose their flexability as they calcify.
Since many / most of the CPR recipients tend to be older, the first good compresion is usually met with (at minimum) a crunching groan as the cartlages give way... and frequently break / disconnect.
That's why after the first few compresions (after the groan), you must be very careful not to push the (possibly floating) sternum into the heart such that it punctures or severely lacerates the heart muscle & pericardial sack. That's also why it is very important to do compressions directly front-to-back (vertical compressions, with no lateral component or roll).
There's also a chance of lacerating the tip of the liver, which is, I believe, the most vascular organ, and bleeds like a mofo.
Of course, being alive with a leaky / bleeding heart or liver is probably preferable to dying completely intact. That's something that surgery can (usually) fix.
SO, short answer; it's not a requirement, but it's likely to happen. Be prepared, and watch the first few compressions after the crunch & groan.
Good Luck
Scott