No. For ad sets with a message destination, the editor automatically sets the correct button (Send message via WhatsApp, Messenger or Instagram Direct) and resolves the destination from the linked Page, so no URL is needed. This applies to image, video and carousel ads, and to ad sets with multiple message destinations at once. If Meta requires a URL in a specific case on your account, the system retries on its own with the appropriate link. The welcome message set on the ad set's existing ads is also inherited by new ads.