To answer your question:  No you do not have to go all the way around.  But the voltage will be higher if you do (more shocking power).

Electricity takes the path of least resistance.  If your cow touches the fence, the electricity flows from the energizer to the cow and then through the cow's feet to the ground, and then back to the energizer grounding system. 

If the cow is located a mile away at the end of a one way fence, a lot of voltage can be lost before it gets to her.  This is due to parasitic losses (shorts) as well as restrictions in wire size.  If you have the fence set up in a loop, then there will be the same parasitic losses, but there is less restriction.

The best way to think of it is like a water system.  If you have a 1/2" water line running one mile, there will only be a trickle of water at the end.  But if you have two 1/2" water lines running one mile, then you will get twice as much water at the end.  If you upgrade to 3/4", you get even more water......  If you fix the leaks, you get more water....  It is the same with electric fencing.