Yes, you will have to use the physical dongle before the software can be started. As you can see the protection method is based on a dongle which means that the software won';t start unless that dongle is present and the HASP driver is installed and running correctly.
There is no way to circumvent that since this is the main purpose of that dongle: to prevent piracy and unauthorized use of the software.
Insert the dongle and install the HASP driver then start the software and it should authenticate itself without your need to tweak settings or confirm something.