Should I get the Trophy? Advice appreciated

I awaiting my new laptop so I can load Zune. But I have noticed Any pics that are in my pics from Windows live or mobile up loads from Windows live. Those pics cannot be deleted from the phone itself. Am I doing something wrong or am I correct in my assumptions. That those pics can only be managed from Zune.
I somehow got a duplicate pic that I cannot delete that's how I discovered the problem. Thanks all :)
One addition to this post. And I know its a stupid question. Do I have to use a Windows live account with a windows phone?
 
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