I downloaded a lot of apps before installing the Portable Apps Platform and I am wondering if it is important to make all apps go through the platform.
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It's completely up to you.
You are not, by any means, required to use the platform, as the apps are designed not to require it.
However, some take advantage of the platform, for things like automatic language switching.
Also, there is the convenience of the built-in updater, fonts, and much more.
Enjoy, either way!
I have used Portable Start Menu with Portable Apps for years and prefer it to the Portable Apps Platform, which is, in my opinion, to 'smart' for its own good - but I do appreciate that a lot of people prefer it that way. If you want to test Portable Start Menu then you can get it here: http://www.aignes.com/psmenu.htm
If by your question you mean must you use any 'portable apps platform' to use Portable Apps then the answer is no. You can just unpack the app to wherever you want it to be and launch from there. The important thing is that you launch the portable using the launcher that is in the root path of the folder you unpacked the Portable App into. For example, say you downloaded "Eraser Portable" and you unpack it to the folder "D:\Eraser Portable" then to launch it just open that folder and (without drilling into any other folder in there) launch the file you see titled "EraserPortable.exe".
Definitely do not open the folder "D:\Eraser Portable\App\eraser" and launch the "Eraser.exe" file in there. Only launch from the launcher (EraserPortable.exe) in the root directory (as shown above).
You can get more information on this here:
https://portableapps.com/support/portable_app#installing
and:
https://portableapps.com/support/portable_app#using
Use Portable Apps on both Flash Drive and HDD/SSD.