Do you always have to use a dam when you fill a cake? I was thinking of using a thicker consistency dulce de leche filling and wondered if it would still "squish" out the sides.

I always use a dam . Im fairly new to this bit I think better safe than sorry !

yes, you would still need the dam.

Can the dam be made with the same icing your going to use as the filing?

If bc is your filling you don't need a dam. If the filling is anything else then yes you need a dam.

Im making a cake soon and will be filling and crumb coating with store bought cream cheese icing, any tips? I'm just starting but this will be a smaller cake so im using store bought icing. TIA

Store bought frosting's are extremely soft. You might want to mix in some powdered sugar to stiffen it up a little. At least enough of the frosting for the dam. I personally don't like store frosting. I made cupcakes for a co worker last week and he loves the vanilla frosting with rainbow pieces. It was a pain to work with. I couldn't even get the stuff to hold a shape when I tried to pipe. I finally gave him the cupcakes and the tub of frosting and told him that it was a self serve cupcake.

If you filling is the same as your frosting, you don't need a dam. For instance, if you are filling with ganache and covering the cake with ganache too, you don't need a dam