Yes, the band must match. If you are transmitting one one band and the antenna is another, you may damage the radio.
Even better, you can match a certain range of a band. For example, a radio may be UHF, but cover 420 MHz to 470 MHz; you would then want to take advantage of an antenna in that range.
And one step further, you can get a specifically tuned antenna to match the actual frequency of the radio you are using (within a few MHz).
The more specifically tuned an antenna is and matched to the frequency being used, the better the antenna will provide good propagation of the signal being transmitted. However, if the radio is using frequencies that are several MHz apart, you will need an antenna the is tuned somewhere in the middle (center point) of those frequencies.