Yes, you still need antennae. Why would you think otherwise?
My confusion is that it was some nifty technology that had some kind of built in wireless module inside it. It's like when I look at a laptop I don't see antennas sticking out of them to get wifi. One of those boggling questions I wondered, like why is no one buying these for their pc's to avoid having ugly antenna sticking out from behind their desktops? I thought they where like nano wireless usb adapters, just in pcie form.
You don't see the antennae on laptops because they are hidden in the display bezel. With a desktop the antennae must absolutely be outside the case else the signal is greatly attenuated by all the metal in the case (read: no signal beyond a foot or so). The dongle you linked to has poor range compared to a full size antenna.