Not necessarily. It is to the protractor that you have to align it to. In my case the cartridge is not aligned to the headshell at all (I mean it is not a million miles away but it is clearly not aligned to it).

Also, make sure you set the overhang and the arm height right! Overhang makes a big difference when aligning the cart. If it is not set right you won't be able to get it aligned properly.

Hope you are having fun!

Jack