Both "do you think we must create" and "do you think that we must create" are grammatically correct and convey the same meaning. The choice between using "that" or omitting it is a matter of personal preference and style.
Including "that" can add clarity and formality to the sentence, while omitting it can make the sentence sound more concise and informal. Ultimately, it depends on the desired tone and writing style you wish to convey.
