I don't think there is any 'must' - it is person preference! We tend to use 'start out' when there is an implication that something changes later on. 'He started out as a service technician, but ended up in sales'. 'She started out trying to hitchhike, but quickly got persuaded that that was rather silly'. It is also used for the beginning of a trip 'They started out on their road trip'.

I'm going to start out with an example of this idiomatic saying. See, I'm struggling to find an example of when you have to use 'out,' and coming up with nothing. But I can think of a few instances where you would not say 'start out.' Start out is like a beginning. Like most of English, it is based on sports. Specifically, horse racing if I'm not making this up as I go. A horse starts the race coming out of a 'gate' area. This start is crucial and means something is beginning. To start is a verb that could mean begin, or could be conjugated to mean a lot of things. I believe the real difference lies in the verb class. I believe 'to start out' is a phrasal verb, except it lacks a condition thereof in that it doesn't change the meaning of the original verb. That is, I can easily just say start rather than start out.