If you just want to complete MS Learn learning path, yes, you have to perform those virtual labs provided by Microsoft.
If you want to practice in your local machine, that is fine too. You will get the labs files here -
https://github.com/MicrosoftLearning/DA-100-Analyzing-Data-with-Power-BI
And finally to achieve certification - you will have to pass DA-100 exam.
Please don't forget to Accept Answer and Up-vote if the response helped -- Vaibhav