Yep. The voltage drop of a Red LED is around 2V, a blue/white one 3,6V. You cannot parallel them without a resistor infront of each of them!
You will destroy the Arduino and the LED's if you are not using resistors
Resistor for a Red/Green/Yellow LED on the Arduino is 150 Ohm (5V supply - Vdrop (2V) = 3V / 0,02 (20 mA) = 150 Ohm)
Resistor for a Blue/white LED on the Arduino is 70 Ohm (5V supply - Vdrop (3,6V) = 1,4V / 0,02 (20 mA) = 70 Ohm) - Closest standard value is 68 Ohm
// Per.