When setting up mandatory budget controls in Dynamics 365 Finance, you do need to assign budget control to source documents like purchase requisitions, purchase orders, and purchase invoices. These are the documents that the budget control checks are applied to. You can specify which documents are subject to budget control and whether the checks occur at the line entry level or the whole document level, according to Microsoft.
Reference:
https://learn.microsoft.com/en-us/dynamics365/finance/budgeting/budget-control-overview-configuration