Yes, you have to purchase the Flip4Mac QT exporter plugin in order to encode WMV within Squeeze. It sucks, but because Sorenson didn't want to build their own WMV encoder for the mac, and because they couldn't come to a more appropriate licensing agreement with Flip4Mac for using the encoder, you have to pay the full F4M WMV Studio price for the ability to encode WMV on the Mac with Squeeze... even though the PC version of Squeeze offers builtin WMV encoding. Go figure. The least they should have done is made an offer for Squeeze users to buy the F4M Pro encoder for the standard version price.
If you need to definitely encode WMVs on your mac, and don't want to spend too much more money, then I suggest taking a look at Popwire's single-pass WMV QT exporter. You won't be able to use it directly in Squeeze, but could do so from FCP or Cleaner. It only costs $29.
Just to clarify, Flip4Mac also works in Cleaner and FCP (and iMovie) as well as from QuicktimePro. It also includes PlayerPro which allows you to edit WMV files in QuicktimePro and FCP as well as convert "the other way" from WMV to MOV.