There is no "must" one way or another. Some people need goals, and for them, goals are necessary. Others go to therapy as a kind of ongoing maintenance. Some need the relationship/attachment, others don't.

As for knowing that it is helpful, that is something nobody else can judge for you. In this forum it is so easy to read about what others do, and think that that's the Paris meter which your own therapy should emulate. And that has been very unhelpful for me.