No, your foundation brush does not need to be wet before applying foundation.  Here are the reasons why:
A wet foundation brush will dilute your makeup - Wetting a foundation brush and then dipping it in makeup will force the water and makeup on the brush to interact and mix with each other. This extra water content dilutes the foundation and you end up with a watered-down coverage.
Water changes the shape of your brush - Foundation brushes are circular or flat with the bristles spread out so that they can hold more makeup. The circular brushes are shaped that way to help you easily buff your makeup. If you wet your brush, the shape of the brush will change and this will affect its performance and the ability for it to buff or apply makeup.
Water and powder don’t mix - You can’t set your powders properly with a wet brush as you will end up with clumps of powder on your face.
The only time that I would recommend using water is when you’re using a beauty blender to apply or blend your foundation.  The beauty blender should be wet because it will suck up your makeup otherwise. The water displaces the makeup and prevents it from soaking into the sponge.
If you’re having trouble blending your foundation, you can use a slightly damp makeup blender to help you blend.
Here is what you need to do:
Apply your foundation with a foundation brush
Wet your beauty blender and then dry it with a towel. It should only be very slightly damp.
Dab it gently all over your face. The blender will help to blend the foundation and create a smooth appearance. Do not swipe the foundation on your face with the blender as this will spread the foundation around.