Yes you do but the mining fee on the security deposit (deposit is 0.01 or 0.003 BTC for taker/maker respectively) is pennies. You can also keep BTC on your Bisq wallet to make things easier (just remember to add a password as it's unencrypted by default).

Would completely agree that Bisq isn't perfect but it is usable. The next exchange isn't far away now and should be good for anyone who isn't keen on Bisq