I spent 8 weeks working on SEMs in San Francisco. When you're looking at a specimen under an SEM, the specimen is under a vacuum. The specimen needs to be dry, and soft bodied specimens (like spiders) need to be specially dried (i.e. critically point dried).
To answer your question. No, all of the air and liquid does not have to be removed. If you have a exoskeleton specimen (like a beetle), you can just simply coat the specimen in some gold/platinum and put it in the SEM.
Final Note: if you have a soft bodied specimen that has air or fluid filled pockets, those places will collapse under a vacuum distorting the morphology that you may be trying to describe (I have experienced this).