Is having done research a must when applying to a graduate program in CS?
In Europe you typically do not need any research experience or industry experience to get into MA programs. 

You typically do not need this to get into a PhD-program either, but it helps to have something to show; a very nice MA-project, perhaps a published (or publishable) paper from your MA-work, popular publications such as newspaper article or similar where you communicated you subject, a nice open source project you contribute to, etc. Some contributions to the field you apply in. This is not a requirement, but it helps when candidates are evaluated. The admission for PhD-programs mainly depend on the research proposal you have submitted: do the comity have faith in your project, it's potential impact or interestingness, does it align with the institutions research goals, and does it seem realistic to complete in time?