No. You do not have to store the PAY tokens in the TenX wallet in order to earn rewards.
You can store your PAY tokens in any ERC20-enabled wallet you choose. Rewards will be paid out to that wallet's ETH address. The exception to this rule is Exchanges: TenX makes no guarantee of ensuring that rewards paid out to exchange-owned ETH addresses will be properly disbursed to their rightful owners by the exchange.