Yes you need to have a backup image.
This is added in Doubleclick (the tools formerly known as Doubleclick) and is not added in GWD.
In GWD just build the html5 banner.
If you are working for a creative agency then for each creative you provide your client, you should provide an html5 banner zip and a corresponding backup image file (not in the zip) alongside the zip.
As an example (Google Campaign Manager), see the Prepare and upload HTML5 assets > What to include in your .zip file
What not to include
No backup assets: Do not include backup assets in your HTML5 .zip file
unless they are referenced by the HTML file.
The trafficker must upload a separate backup image to Campaign
Manager. This image is used if Campaign Manager cannot use your
primary assets because they are not supported. Do not include this
backup image with your HTML5 .zip file.
However, some HTML files may be coded to use their own backup assets
when a browser can't handle all the features. In this case, you'll
need to include a backup image in your .zip in addition to the file
the trafficker must upload separately.
The trafficker will upload the html5 GWD zip and that will be a creative of type html5.
The trafficker will be prompted by google to add a backup image creative (if they didn't upload that first). The trafficker will then upload your backup image in a second step.
Google will detect if the browser requesting the specific ad impression supports html5 and will then serve either the html5 GWD or the image backup as appropriate.