In the documents it says
You can control the execution and scheduling of Magento cron jobs from the Admin of your store.
Does this mean I don;t need to set up a cron job in cpanel?
To be able to manage cron from the Magento admin panel also you need to setup cron using cPanle or ssh.
You have to set cron.php or cron.sh in Magento root to run periodically.
You can refer Google for setting up cron in Magento