No, you do not need to create User Actions for all domains of your application, as User Actions are not dependent on domains.
For example, if you create User Actions in your developer environment, it is also applied to your production environment and Insights data is captured and shown for both domains irrespective of where it was created.
Note:
If you’ve created a Page View-based User Action in your developer environment and you want to use the same User Action in your production environment, update the page URL so that it points to the production environment. For more information, see Can I edit the Page View completion rule for User Actions?