If you have a natural gas hot water baseboard heating system that has 5 thermostats that control the heat do you need 5 separate zone valves on boiler?
If you have 5 zones (thermostats), then you need some mechanism to control which zones are receiving a flow of hot water. There are two typical ways to handle multiple zones with hot water heat:
Use a single circulator pump, plus one valve for each zone. The boiler and pump runs whenever any zone is calling for heat, but the valve controller only opens the relevant valves to allow water to flow to the calling zone(s).
Use a pump for each zone. When zone(s) call for heat, the zone controller triggers the boiler to run and powers the relevant pumps.
There can be some variation from these, especially if your boiler also heats your domestic hot water, but most systems will use either pumps or valves for zone control.
Also note that the valves or circulators used for zoning control are not really part of the boiler. They're attached of course, both to the plumbing and to electronically control the boiler, but are designed and installed per the needs of your home. And while they're typically located near the boiler, they could be elsewhere in your home, perhaps near your radiators.
Technically no, but it's a good idea. Valves are to isolate individual zones after the first one. In modern designs you would want to have one valve and pump per loop. The pump usually going before the loop, and the valve being at the beginning or the end.
Without a valve you can have flow (and heat) going to a zone that does not need it, instead of the one that does. They can also prevent convective flow in the pipes though that is usually negligible.