No, but ePSXe expects .bin by default. You can rename .rom to .bin safely.
Without a BIOS file, ePSXe might attempt to use "HLE" (High-Level Emulation), which is often less compatible and can lead to black screens, audio glitches, or games failing to save. Using a real BIOS ensures the highest level of accuracy for classic titles. Epsxe 205 Bios