Generally, no, the VMs don't have to be shutdown. The key is to ensure that your datastores will still have paths available when you remove two vmnics.
Edit: I should be more specific. If you're only removing SOME of your iSCSi bindings, just ensure you have redundant paths. If you remove ALL bindings, you'll want to move your VMs to FC or NFS datastores instead of ripping their disks out from under them.
Message was edited by: Mike Brown