Yes. Concrete is not considered watertight. Then, you have to penetrate it with a drain. And the joint between the floor and the walls would be a leaker. You need an impermeable pan with flanges, so that the waterproofing membrane on the wall can overlap that flange. Caulk alone can never be condidered to be the primary means of blocking water. Mechanical flashed (overlapped in the downward direction) joints are required.
The drain in a shower, sealed with putty and/or gaskets is the weak link in most shower pans. But done right, it will last.