You don't have to, and it will always be harder than one presumes, but I think it's still beneficial to work for someone else's startup before starting your own. It gives you time to get acclimatized to the pace of change in a startup, to learn to roll with the punches, to make technical trade-offs that are expedient in the short term but mortgage your long-term code health, and to function in an environment with high ambiguity. All of these are very stressful, and when you combine them with the lack of a paycheck and the sole responsibility of driving the venture forward that being a founder entails, you frequently end up with founders that quit or worse.