Do the titles of questions need to be in question format?
When asked that way, I think the answer is pretty obvious: no, there is no requirement for question titles to themselves be written as questions. Sometimes, it might even be so that doing so would be impractical.
However, question titles should be clear and to the point.
I know we get questions occasionally that have "witty" titles. I've edited a few of those myself. Consider the title box placeholder text: What's your worldbuilding question? Be specific.
Question titles should allow readers to, at a glance, tell what the question is about. Exactly what this means will be context-dependent (tags, for example, can add context to a question title) but I find that in practice, a good test for whether something makes a good question title is: would you type it, or a close variation of it, into a search engine if you were looking for the answer?
The question title and the first few sentences from the post is what someone sees on the front page, on the questions page, in search results, etc. etc. etc. In the Hot Network Questions list, the site logo and the question title is all that someone sees. My opinion is that we should be using that space to give readers as good an idea as possible of what the question is actually about.
Is this something that bothers anyone else?
Well, yes, it bothers me, so it does bother at least someone else.
Is this something that WB moderators should fix?
No. Not because we are diamond moderators on the site, at least. This is perfectly within the capabilities of the community to handle on its own. (That doesn't mean we won't fix what we perceive as a poor question title if we come across it, but it wouldn't be in the course of moderating the site.)
Think of us diamond moderators as janitors and/or human exception handlers. A poor title, regardless of what one means by "a poor title", is not an exception; just like other aspects of clarifying the content of a post, it's something that any user on the site can propose improvements to.
If yes, then should previous questions be adjusted or only future ones?
If the only problem with a previous question is that it has a less than perfect title, I would say that you can edit the title if you believe you can make it substantially better and the question is still on the front page. Avoid small editing if the question is no longer on the front page, and avoid mass edits, especially but not only of old posts; keep in mind that editing a post bumps its question to the top of the front page, crowding out more recently added content.
If the title is the question's only problem, and it's no longer on the front page, I'd say don't worry too much about it. The bad title probably didn't hurt too much in the grand scheme of things.
If you are substantially editing other aspects of the question, and that question happens to have a poor title which you feel you're able to improve at the same time, then by all means go ahead just like you would with similar edits elsewhere.