It is not a must but it will definitely attract the user's attention and also improve the user experience for all pages. Since we are into Web designing business we need to keep in mind that the user should feel comfortable while surfing the website. Sometimes a large image would take more time to load. That's why using different images on each page is a good option. It all depends upon how you want to design it, if you want to keep it simple then you can just have one header image and if you want to keep the user engaged then you can go for more of them.