You don't have to, but it does often feel like when you use Spotify that isn't what the app would like you to do. The initial load in heavily steers you towards using a playlist instead and whilst it will occasionally list albums on the home screen it's often broken and will give you a single instead. I'm a huge Spotify user and listen to a lot of albums on it, but there's definitely merits for a more focussed experience like physical media or a digital player.
Some people prefer the minimalist approach and avoid all the disturbance from streaming websites, especially playlists or podcasts or just the ability to bounce from an album to another as they make links between artists or period or whatever. I also prefer listening to my mp3/flac collection on an offline player. It helps focusing.
You certainly can but everything about the UX seems to redirect you to their algos. I also find it really painful to navigate and organise albums on Spotify (maybe there is a way, but I gave up on it a long time ago). Plexamp / playing vinyl works brilliantly for me.
