No. It all depends on how they will pay you.
Those that pay in ETH or an Ethereum token will obviously require one. But mine (for example) - which pays in Bitcoin - will only require you a Bitcoin wallet.
Do we need to have ethereum wallet only if they pay us ethereum token? And with regards to bitcoin wallet, i have already coins.ph app. Is it okay?
Never use exchange addresses, you will not get anything to them! Register on myetherwallet.com, it is so easy to use and also secure. Once registered you will have the right address that you will be asked for in 95% of campaigns.