I didn’t with my most recent i7-13700k w/ Noctua D14. I get a bit of throttling under prime95 but not enough to matter in real use so I haven’t bothered to go back and add one since I’m lazy.

You can always upgrade to a better CPU. If you have bad VRMs you might get throttling if you try to do sustained all core loads, but usually that isn’t too much of a real world problem outside of workstation/rendering/scientific type applications.

It’s a software feature that must be present in the BIOS. I think just about all motherboards support it, but check the manual before you buy to be sure.