No it is not at all necessary for a women to bleed while having sex for the first time. Bleeding is not a sign of virginity.
There are several reasons why some women don't bleed even when they are a Virgin.
1. Some women bleed ever so slightly that it avoids detection.
2. For some women, the hymen does not break until childbirth.
3. In some cases the rupture can happen during non sexual activities (eg Cycling)
4. In come cases the hymen itself is half or in a incomplete form.
Hope this helps