Do we have join a developer program on apple? Because its asking me join one. And if i don't, the preview won't work...

I believe you also need to join a developer group if you want to preview your app on a real device. I selected one of the iOS simulators instead and it got rid the error/alert you were having

I dont think so. You only need to if you want to publish an app to the apple store (I could be wrong)

You need to join the developer program to run your app on a device. However, with Xcode 7 beta this is no longer a requirement