Yes, you must provide charcoal. When we last stayed there, the store at SSR did sell single use charcoal "trays" although we never got around to grilling. Enjoy. Love THV.
A funny story to pass on. We just returned from THV and our family used the grill there on Mother's Day to cook a great meal for mom. Later that week we decided to cook some leftovers inside on the electric stove. The smoke from the frying pan set off the fire alarm and we were visited by the Reedy Creek Fire Dept who responded to that alarm in full dress and shared some of our leftovers. A vacation to remember !!