No it is not mandatory, there's two mail protocols, POP3 (Post Office Protocol version 3) and IMAP (Internet Message Access Protocol), when using an email that talks in POP3 protocol, there is no way of telling POP3 to store the email sent...
The workaround was coded and crafted into an email client such as Outlook, Thunderbird, to name but a few, that are using the POP3 protocol.
However, when an email client talks in IMAP protocol, the email server knows where to store it, consider it in layman terms that the IMAP is an enhanced form of the POP3 protocol.
Thus any action carried out on your email client, such as sending mail, will get stored in the designated folder on your machine by your email client, ALSO, the server will dutifully store it in the folder on the server, as a result of the synchronization between your email client and the server.