No, you do not! Please keep in mind that affiliation changes set off before Obito would have been squished (It's on the timeline, so don't worry about having to guess) would have still happened as per usual. Any defections and the like that is. However, what they did after that, their affiliations, alliances, friendships, everything, is welcome to change from that point forward. If your character would have defected after that point and you decided he didn't, for instance, this would be more than permitted.

In the instance of Sasori in particular, if you don't want him to still be Akatsuki? Well, then he doesn't need to be Akatsuki. Just give us a chain of events in your history and we'll be more than happy to let your affiliation be whatever you like.

Well, as long as it makes sense anyway. We'll be kind of confused if someone takes a Suna nin and makes them an Iwa nin without covering the political HOW of that particular situation, for instance.

Please feel free to ask any other questions you might have.