Do I have to put on water lock on my Apple Watch when I have a shower?

Water lock does 2 things.

Turns the screen tap engine off so that water tapping on the screen will not activate something

and second, when you turn the water lock off it will expel water from the speaker.

You don't need to turn it on, but it is strongly recommended to.

Have a read https://support.apple.com/en-ca/HT205000

Yes it is advisible,having said that there are chemicals in soap and shower gel that could damage the watch over a period of time,I never wear my watch in the shower for that reason.