Yes..and no. I usually make a sample block of anything I am working on. If I notice that my stitches are loosening (even tho I am using a very short stitch) when I remove the paper, then I will back stitch a couple of stitches at the beginning and end. Always start sewing a few stitches before and continue stitching a few stitches after the line so that the next seam will cross the previous seam, for extra security.
It also depends on the type of paper you are using. Foundation paper removes quite easily. But if your paper is thicker, you might need to firmly crease the line before sewing, or even run the point of a seam ripper down the line before trying to remove it.