Hey there, no you don't *have* to grain fill, however using a tinted grain filler can accentuate the look of the grain through the stain.
Grain filler won't necessarily "fill" the grain though, if you're after a smooth finish. To do that, you'd want to use a sanding sealer. (Words are weird).
However, you also don't *have* to use a sanding sealer. If you're finishing with Tru-Oil, for example, eventually enough thin layers will also fill the grain.
There are multiple ways to skin the cat. You might actually be fine with a grain texture to your finish, rather than a smooth glossy finish. It all depends.
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