Probably. If the venue has a Public Entertainment License (PEL) there will probably be a condition that you must inform the Local Authority of your intention to use pyrotechnics. The venue will be able to tell you who you should contact at the Council. Sometimes they will contact them on your behalf. The Council will usually make a visit to the venue to meet you and assess that you are complying with safety standards. They usually also request a demonstration of one of each effect - so make sure you have a spare! If the venue is on private land and does not have a PEL or an agreement with the council, this may be considered a private event and therefore there is usually no Council involvement.
Please also note that if guests pay to attend your event, you may need a temporary PEL, therefore you should inform them of your intention to use pyrotechnics. Most local authorities require 2 weeks' notice to be able to arrange a visit and compile any paperwork. When contacting the Council, try and give them as much clear and concise information as possible, including: name of effects, quantity of effects, location of effects (a stage layout with positions marked), the manufacturer details and any MSDS sheets and, if possible, a preliminary risk assessment. Also, don't forget the date of the load in and venue address.