Not necessarily. The experience will be more seamless and always up to date if the index is pre-generated by the host machine (requiring that it be another Mac). But there's absolutely no reason why I couldn't tell Spotlight to index my remote Windows share once a week. No, it's not perfect, because the index is never 100% up to date, but it's good enough for 99.999% of uses. And it's about 1000 times better than no Spotlight support at all.
The only real consideration here is that in large corporate (or school) environments, administrators of those file servers wouldn't want many Macs separately indexing their shared drives. It could easily bog down a file server if a few hundred Macs are all trying to index it at once, unaware of each other's duplicated efforts. And unfortunately I'm afraid that Apple may not support indexing non-Mac (or non-Leopard) shares for just this reason, despite the fact that there are many other situations where it doesn't apply. Like my home network, where I control all of the machines, so I should be able to set it to do this.
