Do I need a app to use the pencil on a new iPad Pro

An intro: Use Apple Pencil with your iPad - Apple Support

You can write text into (for instance) the address bar in Safari, or can write text or draw into Notes app, mail, and many other places.

No, you don't need a specific app to use your Apple Pencil.

You can use it on the Notes app to see if it works.

To use an Apple Pencil for anything of significant use, you will need to pay for and use Pencil compatible apps.

You purchased an Pencil, what do you wish to do with it, now that you have one?