Do I still have to use a third party giving my IMEI numbers to recover my lost or stolen devices?

This document has a list of things to do if your iPhone, iPad, or iPod touch is lost or stolen. --> If your iPhone, iPad, or iPod touch is lost or stolen - Apple Support

- The Find My service is the only recovery feature Apple offers. It must be set up before the device is lost.

I'm not sure what you mean by "recover". Giving a third party (who is this third party?) your IMEI will not get your device back. If it is stolen, it's unlikely you'll get it back at all. If you had a device that was lost or stolen and you have gotten it back and want to restore it, you still don't need to give a third party your IMEI.

The only time you might ever need to give a third party your IMEI is if it is the insurance company who is replacing your lost or stolen device.