Yes, you do. NoMachine software is not a substitute for Windows Remote Desktop Licensing (previously called Terminal Server licensing).

It depends on how many concurrent client sessions you want at any give time. If you predict running 5 RD sessions simultaneously then you will need 5 RDS CALs. Likewise if you have 100 users accessing your Windows server, you must make sure you have the appropriate licensing in place with Windows. If you foresee 1 client connection then you will need just one.

Please consult Microsoft's licensing policies for more information.