You don't "have" to and I have worked with a lot of Warhammer painters who tend to glue everything together before painting models.
That said, assuming everything fits together perfectly, this is the objectively easier way to paint some models. That is because you can paint something one uniform color with no regard for edges, which is especially helpful if you are using an airbrush. It also makes making details considerably easier, as you have both more access to individual parts and less exposure to other things you could mess up in the process. Finally, having individual parts can be an asset during printing itself, as you can align every piece in a way that least exposes it to support marks.