No, MUST is a harsh word.
A record label technically only needs to take the artists product, promote it and provide sales.
So the band could record the product in another studio, and bring the product to the label to deal with getting the word out etc...
But this is rare.
Record labels (all of the big ones) have the adertising, the sales, AND studios.
Those are the three major components.
One could use an external mastering service, since there are plenty of companies that do this. And one could technically burn all the copies of the album - but if the band is gonna need alot then you'd want to use an external duplication company.
The best real way to start a label, unless you are merely looking to be a kind of Don King for local bands, is to start with a music studio where you charge per project.
Then learn the local scene, and as I said aboe gain a hell of alot of contacts.
Then once you feel confident you can adequatly promote an album via local stuff, and a website, begin as a label.
Also remember that there is alot more legality in a label than in a studio.
If your study was to become profitable,
a mastering suite would be nice - but you could surely invest in a CD duplication machine of your own for "mass market".
Hope that helps!
Phreesoal - Much if it is probably contracted out, namely the mastering and the duplication. Of course I would bet alot of indie music is not even mastered at all.