Yes you need to have FTC sewn in labels.
Textile Products: What’s Covered And What’s Not
In general, most clothing and textile products commonly used in a household are
covered by the labeling requirements. Such items include:5
Bedding — sheets, covers,
blankets, comforters, pillows,
pillowcases, quilts, bedspreads,
and pads (but not outer coverings
for mattresses or box springs)
Cushions
Furniture slip covers and other
furniture covers
Pillow covers would fall under one of the above.