To be absolutely safe, yes. But this is not usually practical, particalarly because coral has special needs [like lighting].
If the coral you buy has been in a tank with other fish or in a tank that shares water/filtration with a fish tank, there is a chance that the coral could bring in ich [not that the coral is "infected" because it is not].
Most stores don't put corals and fish together. Thus, the next question you should ask or look for is: are fish tanks in the LFS sharing water with coral tanks? And if so, how do those fish look? Usually this will not be an issue.