In short, YES, you need third party mail software.
You do however get a SmarterMail 50 domain license when you purchase DNP. if you need more than 50 domains, you can always upgrade.
Another option is to get the FREE version of MailEnable (Standard). It will give you unlimited domains and mailboxes but does not have a few features (Virus Scanning, Message Filtering [spam], and webmail to name a few.)
If you want DNP to manage your Exchange Server, have a look at this https://www.dotnetpanel.com/HostedExchange/Licensing.aspx
Chase

DotNetPanel 2.8.5
Server 2008 Std
SQL Server Express
MailEnable Enterprise 3.14