"Kateřina always knew what she wanted."
Translation:Kateřina vždy věděla, co chce.
Yes, they don't need to and often they should not, depending on the exact meaning.
For more see Tahal's grammar http://www.factumcz.cz/K.Tahal-Grammar.pdf point 60 page 208. "Temporal relations in indirect speech (also called quoted or reported speech ) are expressed in a different way than in English – if the projecting clause is situated to the past. "