It depends. This is from the American Academy of Family Physicians website:
"Many pessaries can be worn during intercourse--your doctor will tell you if you can't. " You need to check with your health care provider to make sure the type of pessary YOU have can be worn during intercourse.
No you do not, it is perfectly safe to have sex with a pessary in, it will be fine. They are also easily removable if you do not want it in during sex for any reason. Also remember it is not a contraceptive device, so you will still need to find a safe method of protection. You can also check in with your doctor and see what he/she says.