No, you are not. However, fanfold labels have certain advantages over rolls, particularly, less waste and usable space. You may occasionally want to switch between these sticker types in the daily course of your business.
Among direct thermal printer makers, Dymo is the one that does not make units suited for fanfold labels. Brother produces proprietary fanfolds for some of their pricier units, but the QL1110NWB, which is featured here, does not use them. Other brands process fanfold tags readily and without problems.