Not necessarily. A base layer without a UPF rating simply hasn't been tested for ultraviolet protection, but that doesn't mean it leaves you exposed. Most ski underwear fabrics—especially denser knits like merino wool—naturally block a fair amount of UV radiation just by virtue of their construction. For typical mid-winter resort skiing, when you're bundled up and the sun is low, the lack of a UPF rating is rarely a concern.
Where it matters more is during spring skiing or at high altitudes, where UV radiation is significantly stronger and reflects off the snow. In those conditions, a rated base layer (UPF 30 or 50+) gives you a known level of protection on any exposed areas like your neck or wrists. If your base layer isn't rated and you're skiing in intense sun, just be diligent about sunscreen on any skin that's showing.
The bottom line: for cold, cloudy winter days, an unrated base layer is perfectly fine. Save the UPF concern for sunny spring sessions at elevation.