Of course you need to do grammar exercises, the interesting question is whether it's good to avoid your native language when exercising, as Lingua Latina per se Illustrata does but most language training materials don't.
Like, outcome of language classes you describe are people who cant watch movies, cant listen to podcasts, cant talk with natives ... but are decent in solving grammar exercises. And to add insult to injury, the whole process so massively sux, that you are likely to conclude that learning languages is not for you.