No, coaching is NOT AT ALL MUST, BUT MENTORING IS.
You must have a mentor, even at a distance who will guide you not to make any blunders, and also as to how to use any resource if you have, or to acquire that resource.
Coaching has some advantages, so has self study. You must know the limitations and merits in order to decide yourself, whether coaching is essential or not.
A comparative analysis and some procedures and processes of self study has been discussed in the link below.
Please visit this answer on QUORA to know that.