Its not a must...but if you like to …why not?
I dont think you loose your identity by changing your last name... an Identity of a person is not in his Surname name alone! And moreover in our culture we are known with our first name and not by our surnames….we live with our parents only till we get married...but most of our life is lived with our spouse...that’s when you are independent and start having an identity of your own!
If you are ready to get married there are certain things that come with the package..if you are not ready to accept it...that means you are starting a life with conflict of interest….lol

No one forced me to change my name I was more than happy to change it when I started the new phase of my life!