Voting to close - this is a place for people that at least looked at the documentation.
Still an answer: yes, you must defrag.
Like all non-trivial databases exchange does not automagically reoptimize disc space usage as this is assumed to be secondary (as new emails come in anyway and the sapce will be reused anyway). You find the same behavior in pretty much every database system (oracle, sql server, exchange which uses a version of the jet-engine).
In the rare case of having to free up space - yes, you need to run a defrag. Or make a new database, move mailboxes, drop old one ;)