we must use a wallet where we have access to the private keys, right?
Yes you are right.... myetherwallet or metamask preferably in my own opinion
You dont have to but honestly not using a wallet when you dont have the private keys is just waiting for a disaster. The fact is if the private key isnt known only to you then the coins and money in the wallet really cant be assured to be safely your own funds as you dont have assurance they wont be stolen or made off with. Always use a wallet with your own private key