Yes pumpkin pies do need refrigeration to keep the pumpkin pies safe to eat.
It's okay to leave a pumpkin pie out for a few hours as in when you're serving the pumpkin pie or going somewhere with it to take it to a family dinner or something.
But if you're not gonna eat the pumpkin pie within a few hours then you should and do need to refrigerate the pumpkin pie.
Pumpkin pie is made using eggs and milk which can go bad when not refrigerated.
Also those eggs and milk have high protein and moisture content and when these baked products are left at room temperature, conditions are ripe for bacteria to multiply.
So you could get sick if you leave pumpkin pie out of the refrigerator for too long and then eat it.