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Yes, that is correct, but you don't have to convert the files yourself and thus it will save you time. Furthermore, if you want to you use CD-text, I think Nero will use the artist/title/etc tags of your lossless files for that purpose (those tags will be most probably lost when you convert to WAV manually).
You might save time using Nero, however in the end it's a per user choice. I have Nero but I still decode to WAV using foobar to take advantage of my replaygain tags. AFAIK Nero still cannot reproduce an album gain using it's normalization feature. Also you can use foobar2000's diskwriter plugin to output wav files with a naming scheme that Nero will automatically parse and turn into CD-Text.
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Actually, you should say audio data is converted to PCM before burning. WAV is just a format which can contain PCM data.
Well for the purpose of this discussion I didn't think it was necessary to get that technical. The OP just wanted to know if it was necessary to convert to wav first.