Yep! I learned the hard way during my first week. Had a PAX from outside ORD wanting to go to General Mitchell airport. Since it was mid-morning and I already scheduled a day off from my primary job I thought it good to just "spend the day" in the greater Milwaukee area; wrong! As stated above, you must schedule with Uber to work out of state and I heard Uber needs at least 2-3 weeks lead time to arrange this with their insurer. Glad it wasn't further!
You usually need to set up a separate driver account to drive in other states. Some allow it, some don't. I'm a Michigan resident and have two accounts: one for Michigan and one for Chicago. I've been told that Uber in Ohio does not allow out-of-state drivers. I know that Illinois, Missouri and Florida all do.