Only if you want to...it is totally up to you.
Some folks put plexiglass on walls behind cages for easy cleaning and some cover the whole cage and some just the sides.
I have vinyl table cloths (from Walmart for $5) and wrap the back and sides and clip on with the black binder clips, and that keeps the walls clean and drafts to a minimum.
They can be hosed off to clean and reuse or tossed. I use them for theme cages sometimes too. I use a flat sheet to cover the fronts at nite, so they just get washed with the glider laundry when they get splattered. I do not cover the front of the cages during the day at all. They need the daylight in the room so their body clocks stay on queue. And the top is mostly open,I like to leave it 2/3 open for air circulation and ventilation.
You can use a shower curtain too and even attach that to your wall(or the cage).
I did the cage so it wraps on the sides so that also helps keep the food and poo in the cage.