No, not necessarily. Also, although @Tristan mentioned only hormones, I think he likely means instinct in a broader sense.
The degree to which a species finds pleasure in sex will likely be a function of factors like whether individuals have sex multiple times, and how much discretion they have for when to have sex.
If a species must have sex at some particular time, with the first candidate of the preferred gender that they encounter, then the evolutionary selective pressure will just be for that behaviour to be entirely reflexive; pleasurable sensations not required.
Then, I would expect a spectrum between purely instinctive on one end and purely a choice due to conscious awareness of potential pleasure on the other, with species occupying various positions along this spectrum.