Despite what some will tell you, even NOS sheet metal had its issues, perhaps not as much as the reproductions but they still needed some tweaking. You have to remember that your car has been on the road for many years, most likely driven hard by someone at some point (more like several people) and the body does flex, this results in things not aligning when new metal is used. People ask why the original metal fit, because it was tweaked with the rest of the car.
Yes, all of the panels should be aligned, meaning on the same plane. If the door is proud (higher) then the fender, the fender needs to be shimmed out. Also, the contours should match between the fenders and the doors.