Do You Have to Play a Component to Warm it Up?

Typically you do no have to have music playing through it. An exception is the Audio Research Reference 5(SE) preamp. The Reference 6(SE) does not. Beats me why the Ref 5 was like that.

With digital unless it is tubes I leave on 24/7 for it keeps the circuit optimum sounding and doesnot harm the circuit one bit for it is a low voltage item .

Electronics absolutely. My class A amps need a day at full power, preferably 4. Ditto my phono/pre. Brystons a few hours of idle. Cartridge and speakers 20 minutes of use..

Let your ears tell you. I let my system play for about an hour at low levels before doing any serious listening.

I also have Hegel, H360 and it does take 10 or 15 minutes to sound better.  I cannot tell with other electronics except for phono stage.