Short answer: Yes, if a capture is available, you MUST take it. This is the Forced Capture Rule (mandatory in almost all official rulesets).
It prevents passive play, accelerates the game, and adds tactical depth—you can force opponents into bad captures.
Some casual players allow "free moves" (ignoring captures), but this is not standard and changes the game significantly.
Bottom line: In any serious or tournament game, jumping is mandatory. Always clarify rules before starting a casual game.