Not necessarily. Some effects are historically used on aux like reverbs and delays. This was mainly due to wanting to send multiple channels to the same effect and since it is used on an aux, you can adjust how much signal is sent to the effect (not 100%). With an insert you are sending 100% of the signal to the effect. This is useful for eqs and compression (unless you want to use ‘parallel compression’).

Having said that, using a modern DAW with a new computer you can fully add a reverb (or delay or any other effect usually used with an aux) on an insert for every channel you want without using the aux method if you want to.

So, it really depends on if you want the effect to work on 100% of the signal (insert) or you want to blend some of the dry signal (aux).

BTW, the nomenclature used in EZmix (insert, aux, master, group) are just what the maker intended for them to be used for. You can, of course, use an ‘insert’ preset on an ‘aux’, or a ‘master’ preset on a ‘group’.