Does a fireplace with switch on wall need to have the pilot on constantly

In almost every case you have a gas valve with “pilot” and on yes the pilot stays on. This is normal, the quantity of gas is very small. The air in the line had to be purged and because the flow is low it took a while so none of what you described was out of line. If it’s summer and you don’t plan on using the unit turn the gas to the off position with the yet and save a little and no additional heat from the pilot.

Yes, the pilot light should stay on. That's what it's for. It might cost you about a dollar to leave it on all year since it uses such a small amount of gas.

You can turn it off in the summer, if you don't plan on using the fireplace.

However, when you light it in the fall, keep it running until the end of the season. The reason for this is that it produces a small amount of heat that keeps the airflow running out of your chimney.

If the chimney gets too cold in the dead of winter, it can take a while for the airflow to reestablish itself when the fireplace is on. This means your exhaust can potentially stagnate in the chimney and enter the room, possibly causing Carbon Monoxide poisoning. [Source: Gas Fitter who installed my fireplace when I told him my wife wanted me to restart the pilot every time instead of letting it run]