No, you don't have to bake the feta if you don't want to. I like to bake it because it gives the cheese a nice crust on top and allows the flavors to meld together. Plus, you are already roasting the tomatoes, so it makes sense to put both into the oven together. When the feta cheese is baked in this pasta recipe it takes on a slightly different flavor. If you're not a fan of baked feta, feel free to leave it out. You can skip this step if you're short on time. The dish will still be delicious without baking the feta. Just combine it with the pasta and tomatoes and stir together before serving for a delicious meal that is perfect for busy weeknights.