Long answer short. No.
In fact, there is a thing called a dry orgasm. Orgasm can be achieved without ejaculating – yes even if you have a penis.
It’s called Anejaculation, and it’s a mental thing.
Given our cultures desire to equate orgasm with fluids, and all the important reasons we like that to be true, anejaculation requires some mental practice and effort.
However, it’s a thing. Most importantly, not ejaculating either through orgasm, wet dreams or anything else is no cause for alarm.