Is a pension mandatory for DGAs?

No. As a DGA you are not obliged to build a pension, unless you fall under a mandatory industry or professional pension fund.

It is wise to arrange something though: you accrue no pension through an employer and AOW alone is not enough for most DGAs. Since 2017 pension in eigen beheer is no longer possible, so accrual runs through the third pillar. See pension for entrepreneurs.