Do all emotional affairs have to become sexual?

Not really. Emotional affairs are a situation where one person out of a romantic couple seeks emotional support from a person who is not their spouse/boyfriend/girlfriend. For it to count as an emotional affair, the person supplying the emotional support would have to be someone who would be eligible as a companion had the person seeking emotional support not been romantically involved already.

Sex does not really supply emotional support, so it does not fit into a specifically emotional affair.