No.

The purpose of cement board on walls is to absorb water that splashes/seeps through the tile (namely in showers). It's unlikely that your baseboard will receive a lot of splashing. :-) Same goes for wall tile or backsplashes: you can thinset right to the drywall, no cement board needed.

The purpose of cement board on floors is different: it serves to isolate the tile from the movements of the wood subfloor.