No, it isn’t mandatory. To be honest, I only went the first day (but made it very clear that I was available for additional interviews).
I suppose it really depends on what you’re applying for. I was in the IT world and knew they weren’t talking to as many as people as the other services.
My advice, go for when you can. Get a name to follow up with. Try to converse with the person and go in with high energy and hopes (just don’t go overboard).