Yes it does need to be unlocked.  The USA Sim Card will not work in a locked Hotspot or USB Modem.

If you purchased your Hotspot or USB Modem from a mobile carrier eg Telstra, Optus, Vodafone, then it can only be used with their sim card.  If you put any other sim card in the device it won't work.  

Contact your carrier (Telstra, Optus, Vodafone etc) and request your device be unlocked.