Depends on how you define work experience - full time work/part-time/internships.
I would say quite a few people would have a clear established track record of what industries/jobs they're targetting post MFin, hence would have some internships in a similar industry under their belt. Say, for IBD, some people might just be using MFin as an opportunity to expand on their network since they probably have some summer/fall internships/FT [full-time] offer(s) lined up BEFORE entering their MFin.
Hence, yes, if not for FT experience, you do need relevant internship experiences in Finance in all probability. Just think about it, even if they offered you a place in their program without any relevant experience (which to me would be highly unlikely), would you really invest ~25k Euros on a ~1 year program, with no certainty whatsoever that you'll land offers on graduating?
Hope it helps!