In a Multi-Site Search head cluster, do we have to use the F5 load balancer in both Data centers? Or do we have to use single F5 load balancer for all search heads in both Data centers?
It is entirely up to you. You don't "have to" use any load balancer at all. Or you can use one, or two.
To nit-pick: there is no such thing as a multi-site search head cluster. What you can do is to "stretch" a search head cluster across two data centers. A single load-balancer should front all search heads in that search head cluster.