No you are not supposed to or required to change a babies diaper every single time the baby pees in the diaper.
Babies when they are under a year old can pee several times per day as they have a tiny bladder that holds very little pee so the baby will pee a lot through the day.
If you changed the babies diaper every time they peed the diaper you would likely go through 20 to 30 diapers per day which would be a lot of diapers and get expensive.
Diapers especially disposable diapers absorb a lot of urine and hold the urine away from the babies skin so they don't feel wet.
You only really need to change the babies diaper every 1 to 3 hours depending on how often they pee.
If the baby poops then wait around 10 minutes or so to allow the baby to be done with pooping and then change the diaper.
I once changed my baby when he was 5 months old right away after he pooped and that was a bad thing to do because he was not done pooping.
He pooped more and got it on me when I was wiping him down.
So I started waiting around 10 minutes after I noticed he pooped just to make sure he was done pooping.
When the baby gets older and reaches 2 years old to 3 years old then they tend to pee less often so they may only need a diaper change every 3 hours or so.
You can feel the diaper with your hand and see how squishy the diaper has become and when it gets squishy or swollen up then the diaper is wet enough to need changed.
Diapers should be changed every time they poop the diaper but when they pee the diaper doesn't need to be changed right away or every time they pee.