Only to the same degree that first-order logic requires an ambient group of models (not necessarily sets) to make sense. It's just that the ambient models in the second-order theory include collections of possible predicates of any objects that get predicates attached, or if you prefer, people who speak in second-order logic think that it makes as much sense to say "all possible collections that include some objects and exclude others, but still include and exclude only individual objects" as "all objects".