Short answer: No you don't!

KyberSwap operates in a non-custodial manner which is only a user-interface to help people interacting with smart contracts of Kyber Network.

With KyberSwap you can import your own Ethereum wallet on the platform. Thus, it doesn't require people to deposit (or withdraw) money into its wallet. You are as a user on KyberSwap will totally control your fund and trade freely on Ethereum blockchain.