With so many different styles and variations out there, it's hard to focus down on one specific style sometimes. The question that you need to ask is; What do you want to see on your wedding day?
Do you want glitz & glam
Soft & subtle
Or Rustic & charming
Those are just a few of the many styles that are out there. When choosing one, if you do choose to go with one, trust your gut. Don't be afraid that your wedding colors won't work with your theme, your colors will bend to any theme. Imagine the wedding that you've had in your mind since a little girl and run with it. Make sure it comes naturally to you, don't force something that isn't you.
So to answer your question, no you don't have to pick one, but once you start planning, picking colors, and coordinating, a style usually will pop into your head.