I think it might depend on what fellowship program you're applying to (e.g., an IM subspecialty, a general surgical fellowship, EM, radiology, anesthesia). But in general, yes, you do. And not only take it but pass it. By the way the USMLE is composed of Step 1, Step 2CK, Step 2CS and Step 3. Each is a major exam that lasts a full day.