This is correct, though in osu! lazer (next major update to osu! )there is a built-in PP counter that is technically considered skinable (though you cant actually earn pp on lazer just yet, its being added fairly soon. You can still see what plays would be worth though). You can add one to any skin by starting a map, pressing ctrl+shift+s, then selecting the PerformancePointsCounter and adding it somewhere to the screen.
Otherwise yeah you'd have to find a 3rd party in-game pp counter online somewhere and set that up