No.
You do not need to thaw frozen berries before baking with the berries.
For most recipes that call for berries to be baked in with the recipe you can place the frozen berries directly into the baked goods and then the heat from the oven will thaw out the frozen berries and cook them in with the baked goods.
I've made blueberry pie before and used frozen berries and the blueberry pie turned out just fine.
Some recipes call for fresh thawed berries and for those recipes to turn out good you should thaw those frozen berries.
However for most baked goods frozen berries can be cooked directly into the mix without thawing them first.
The oven gets hot enough quickly that the berries won't be frozen for long while they cook.