Do you have to build ffmpeg from source to use 10-bit codecs in Windows?
Not quite. The x264 encoder, specifically, can be compiled with either 8-bit or 10-bit support, but not both.That restriction doesn't apply to x265 or any other encoders that I can think of. So, unless you need to encode to H.264 10-bit using x264, the regular builds of ffmpeg are fine.

You can fetch standalone binaries for 10-bit x264 from the official site at https://download.videolan.org/x264/binaries/ Too much hassle to compile ffmpeg with all other dependencies if you just need that one 10-bit encoder.

Edit: This is no longer true as of late Dec 2017. x264 now compiles and links as a multilib with both 8-bit and 10-bit support.