On most vehicles they do. Here's why:
MacPherson struts are more than overgrown shock absorbers. They're an integral part of your vehicle's suspension. They replace the upper control arms and ball joints and serve as the steering pivots for the front wheels. When the strut assembly is unbolted and removed from the vehicle, the original alignment of the suspension is lost -- unless the position of the camber bolts and upper strut plate are first marked so they can be reinstalled in exactly the same position as before. But this only works if the same original strut is being put back into the car. If the strut is being replaced because it is leaking, damaged or worn out, the dimensions of the new strut will usually vary enough to cause a change in wheel alignment. So wheel alignment should at least be checked to see if adjustment is necessary (which it usually is).
On some import cars, the struts are "rebuildable." The housing has a removable nut that allows the old guts inside to be dumped out and a new cartridge installed. On these vehicles, it should not be necessary to realign the wheels after rebuilding the strut.