Do I have to marry my fiancée once they come to the United States?

No you are not required to marry your fiancée once they come to the United States. A fiancée Visa merely gives you permission to marry should you so desire. If you decide not to marry your fiancée the only requirement is that they must leave the United States before the Visa expires. Remember that the U.S. Citizen is the sponsor and you are required and responsible for the beneficiary by paying and sending them back at the appropriate time in order to keep your record clean in case you decide to petition another alien fiancee later on? It is also recommended that the sponsor make photo copies of all immigration paper work including your alien fiancees passport page as away to maintain those records as USCIS will require those in the future.