In dynamic balancing do we need to support the component on the machine in the same location as in assembly?

Yes it is necessary to support the component being balanced at the same or near about of the bearing supports for proper results. Dynamic balancing is a force balancing and couple balancing
Operation. The couple is the product of force and the distance to the point of support. So it is essential that the real life conditions are replicated on the balancing machines.

Figure 1:- An example of couple and Force (Weight) balance is shown balanced.

The Balance is no more valid if point of support is changed.