No. If you don't want to use FeedBurner®, you can just fill the FeedBurner® options panel with URLs pointing to which ever locations you prefer. That being said, there really is no reason NOT to use FeedBurner®, as it provides additional features not available with WordPress® alone. Such as email subscription capabilities, advanced statistics, syndication methods, PingShot, BuzzBoost, the Awareness API, FeedFlare, their Headline Animator, and the list goes on. FeedBurner® also makes it possible for you to run AdSense® ads within the output of your feed. I've attached a screenshot.
