A great question, and the answer is 'No', we don't have to when making connections.
Some of you may be aware of 'The Tube Challenge' and with this you can ONLY travel by public transport. However, this isn't a time challenge, or world record attempt - it's a documentary about travelling to All The Stations in Ireland and Northern Ireland.
Therefore, at the end of one line, it may be convenient for us to get a bus, taxi, or even have a friend pick us up in their private car and drive us to another station.
This is actually advantageous, in that we'll get to explore more of the stations in the documentary.