Yes, you need to create that directory yourself and make it writable.
Also, you really should use the latest version of JForum (2.4.1), which can be found at
https://sourceforge.net/projects/jforum2/files/?source=navbar. 2.1.9 has a bunch of bugs and security holes which will not get fixed. JForum2 on SourceForge has fixed those issues, and also added a number of new features.