I think it depends on your final destination. Are you coming back to Qatar? If so, how long do you plan on staying in the PI? If the PI is your final destination and you will not be returning, ensure you check out of Qatar properly or you will not be allowed to return for 24 months, and then only with permission. If you are coming back to work within 6 months, then I dont believe you will need to come back to Qatar when you leave the UAE, but I would check with your sponsor to ensure this is correct.