No, you never have to do this with Dolphin. It had its inaugural release in 2003 as freeware for Windows. If you don't have an internal Bluetooth adapter connect the Bluetooth dongle with the computer through a USB port and if needed install the drivers.
Dolphin is an open-source Nintendo GameCube and Wii Emulator for Microsoft Windows, Linux, and Mac OS X (Intel-based).
Dolphin emulator mac keyboard not working Mac 2020 11.