No, you don't have to buy the Brother software. I use Sew What Pro from www.sandscomputing.com and also Monogram Wizard Plus and Extended from www.needleheads.com It does all I want it to do. I do have PED Basic which was the card transfer software for my lst Brother. Now I can use a usb to transfer designs. So if your machine uses a memory card, you will need the transfer box (software). It is only abour $100 and you can find it on ebay, too. If you have a machine with the usb, then you're all set to go with any software you like.
Most of the software has demo products which you can download and play with to see which want you like the best.