In short, unfortunately yes, you have to add the "Enable inline editing for content" TBB to every Component Template, for the Components to be marked correctly in Experience Manager.
SiteEdit 1.3 was working different in that sense, the TBB on the Page Template basically marked the Component Presentation, and the TBB on the Component Template was just there for the fields. With UI-2012 (or Experience Manager) there are basically two things:
- On each Schema field you indicate whether that field should be editable or not
- By means of the "Enable inline editing for content" TBB you indicate if you want to enable Experience Manager functionality for the Component.
The "Enable inline editing for Page" TBB you place on the Page, only adds the functionality required to the Page, this doesn't relate to the Components anymore. That now gives you the added benefit of having more control over which Component Presentations you want editable on your Page, but every pro might have its cons too.
What you could consider is to simply add the "Enable inline editing for content" TBB to your "Default Finish Actions" TBB. That would save you the trouble of editing all the Component Templates. You will still need to Publish these changes, so in effect it isn't much of a difference (I personally would prefer to add the TBB directly in every Component Template, its not going to take you more than a minute or two per CT (you could even consider doing it directly in the CME by editing the XML source of each CT, saves you the time of having to start up the Template Builder) .