No, it can be in Sleep mode and MC will wake it to make recordings. In fact it will wake your HTPC a little in advance of the recording start time, so that the PC is up and running for the start time, including any padding before the program.
That is how I use my HTPC. I never shut it down, but let it sleep when not in use. MC keeps it awake while I am doing something on it, like watching TV, listening to music, or a recording is running.