No, I have Win 11 installed on both a SD card (in the SD card slot of the Deck itself) and on an external SSD accessed when in Docked mode. I only have Win 11 installed for the games which don't run on Steam OS (Destiny 2 mainly).
I followed this guide for the process (works for either SD card or USB stick pen / External USB SSD):
https://www.digitaltrends.com/computing/how-to-install-windows-steam-deck/
(Note: In Rufus you may need to hit Alt+F to get the External SSD to show up as mine didn't originally).
Once you have the install ready on the Drive (SD or USB) the process once booted on the Steam deck is basically the same as any other Windows install. Note, you will have to enter the boot menu (Hold down volume down and Power at the same time until you hear the beep chime) every time Windows does a restart (well technically you will need to shutdown the Steamdeck and then access the boot menu as it restarts directly to Steam OS by default). I am sure I saw someone post earlier in the thread (
@Rilot perhaps?) about getting the USB drive to be detected on initial boot so it doesn't do this but I didn't want/need to look into that for my use.