That depends..Yes, your car won't even start without it being programed.
I've read several threads from people that have done auto to manual conversions and Mazdaspeed conversions, in both cases the car would not start until the PCM that was swapped in was programed. These cars also have a form of Ford's PATS system so I believe the keys need may need to be programed into the PCM as well before it will start.That depends..
You would need to only ask your supplier of the replacement ECU.
Some are programed other need a pass-through other wise known as model programming by VIN.
I get them in the shop both ways from the OE (new & re-built) as well after market rebuilders of ECU/PCM/TCM ect.