No..........The wristband disbtibution starts 2 hours before the evening EMH but you don't have to get it at that time. You can arrive after EMH starts and as long as you are a Disney resort guest you will be admitted and given the wristbands.
I did hear a CM back in June say that they sometimes run out of wristbands. I doubt that this happens much. However, if they did run out I don't think you would want to be at that EMH anyway since it would then be packed.