Yes and no. By the nature of some of the pieces' structures and characters, not every Sondheim show has an "I Want" song. However, the flip side of the "I Want" song is the "I Am" song, which fulfills the same purpose as an establishing character moment--and are much more common in Sondheim's canon. The title song from Company, "Don't Look at Me," "The Advantages of Floating in the Middle of the Sea" (unorthodox by way of the show's collective protagonist), "The Barber and His Wife," etc.
The most "traditional" (for lack of a better word) "I Want" songs in the Sondheim canon come from the earlier shows (and the collaborations, as noted elsewhere in the thread): "Free" and "Anyone Can Whistle" are as straightforward as you can get.
(Passion, by way of it's style, has a passive protagonist who has a sort of "I Am" in the form of "Happiness;" however, the true "I Am" song in the score is "I Read," despite its being given to the secondary protagonist. Unless, of course, Fosca actually is the protagonist of Passion, which is another conversation entirely.