Yes, you do. Esri botched the zLAS support so far. "Unzip" and then they work fine with geoprocessing.
[Here is a workflow link][1] for using LAZ files in ArcGIS.
[Here is a workflow link][2] for using LAZ in ArcGIS Pro.

It looks like you will need a 3D analyst or Spatial Analyst license in Pro or a data interoperability license in ArcGIS.
  [1]: https://support.esri.com/en/technical-article/000018224
  [2]: https://support.esri.com/en/technical-article/000018920