Does that mean I need to hold rUSD in my account to cover my margin requirements?

Only partially so. One of the killer features of Reya DEX is that enables cross-collateralization: you can hold some tokens other than rUSD in your margin account, and have them count towards your margin requirements. For example, you can cover them instead with a yield bearing collateral: (s)USDe or deUSD. This way, your collateral can earn yield while you trade.

However, you still have to pay your losses in rUSD. The perps, after all, still settle in rUSD! In other words, you should still keep a minimum amount of rUSD in your account, otherwise you may be subject to asset liquidation procedures.