*Have* to, no. The league would certainly prefer it so UConn doesn't have to compete with other programs for game times, especially for a potential playoff QF series. It also would make UConn's recruiting significantly better to have a new on-campus rink.
I wouldn't be surprised if they do some renovations to Freitas with the intention of making it the exclusive home for the women's program. A few other schools have done that and their women's teams have excelled. It can also be a secondary practice facility for the men's team if need be. But if UConn were to build a new on-campus rink, the team would practice there regularly. It's a huge advantage to be able to practice on the same rink you play.