rename keep-out layer
When generating Gerber files, you have to select the layer that contains your board outline in the Gerber Setup Dialog. Unlike some other EDA programs, Altium Designer doesn't have a special "Board Outline" layer. You either have to use your "Keepout Layer" or some other layer on which you've drawn your outline.
I like to use mechanical layer 3 for my board outline, other users have their own favourite layer they reserve for the outline. Note that you can rename the layer to "Board Outline" in the "Layers and Colors" dialog (shortcut "L"). However, the Gerber file output will still have the standard Altium Designer suffix.
The short answer to your question is - Yes, you have to have your board outline drawn on some layer, and use that layer to generate the Geber file for your board outline.