No, they do not have to match. But it is good to have a plan and some strategic overlap so it doesn't look chaotic. Usually the doors throughout a house have the same hardware, for example. And bathrooms and kitchens are entirely separate entities and can have entirely separate finishes. But it is best in a kitchen not to have four separate metal finishes on lights, hardware, faucet, and door knobs. Some overlap, with maybe only two finishes in play, would look more coherent.