Hi JC. No it's not law that you have to use GlassGallery... it's something that is provided for users of the GMB as many users here have had problems with using hosting sites such as Tinypic, where you upload an image and it can vanish within hours or days without warning.
The other plus of using GlassGallery is that we can offer tech support here for it - especially I can as I look after (as in created, set up and host) the GlassGallery, and it does have step by step how to help for every step of the way if you need it.
Ultimately, however, the choice is yours.
By the way, the link you need to include for your image in GlassGallery is the one below it in the File Information section, not the one from the address bar. The address bar one is dynamic and changes with new pictures being added to the Gallery, whereas the one below is the absolute link to the image in the database and will always find the picture even it you move it to a different album in the Gallery.