Law is a big word. Must is also a big word. You can't generalize such a question to the enormous scope of reality.
No you do not have to do anything but you must be aware of the possible consequences if you get caught. So usually better to keep within the law otherwise a small cell could be your next home.
apparently we don't have to pay taxes either but if you don't the government will take your house , your property , your business or anything else you should own and leave you like humpty dumpty as a lesson to every body else
I think it is our duty to NOT follow any rule that is unfair or unjust. Otherwise, we are just sheep.