You do not have to convert them but something has to.

A RAW file contains sensor data and is not an image like a JPEG. Except for Sigma cameras, a RAW file only has one color-channel for each pixel but an image needs three. When you shoot RAW, conversion software does the interpolation to create an image. This is usually a JPEG but it does not have to be.

There are ways to see a RAW file as an image before it gets converted. One way for your operating system or image viewing application to read the JPEG that is embedded in the RAW file (most RAW files contains a JPEG for this purpose). This is good for sorting through files BUT if you ignored image parameters such as WB and Color Style, you may be surprised as to what you see! This is because the camera MUST use some parameters to generate the embedded JPEG.

To work with RAW files you need a program that understands RAW files from your camera. Actually, there is always one such program bundled, although most people use something else like Adobe Camera RAW but there are other options. These programs let you open a RAW file and adjust the parameters in order to convert them into an image. If you do convert into an image then you can edit in another software but you will be limited by the export format, so you should choose something with high bit-depth like a 16-bit TIFF.