Do I always have to play a sequence back from the beginning?

No! There are three Play buttons in the Sequencer pane. The first play button will play the sequence from the very beginning. The second play button will play the sequence starting at the current "caret" position. To set the caret, click anywhere on the sequencer track. A black line with two small triangles will appear, representing the caret. The caret can be placed on any beat in the sequence. The third playback option will begin playback from the green "loop start" sequencer flag. This flag can be placed anywhere in the sequence, as long as it is to the left of the red "loop stop" sequencer flag.