Not necessarily. It shouldn't make a difference in picture quality or sound, but it won't allow your sound to come through your audio system, which means no '"5.1 surround" unless the dvd player has surround built in (plug & play system).
Hope it helps.
The video quality will not be noticeable going thru the AVR. It's fine. I assume you are doing this to play audio in surround sound so you need to do this anyway. You can also go DVD to projector via HDMI and DVD to AVR via optical as an alternative if you have it available