No. It is not true.
Like all Catholics, members of Opus Dei may confess to the priest of their choice. This is a fundamental right of all Catholics and is explicitly stated in Canon 991.
Yet it’s also true that it’s good for a member of the Work to confess to a priest of Opus Dei because they are most familiar with their spirit and can more readily give advice that is harmonious with that spirit. They share the same vocation, after all. So members are encouraged to make a priest of Opus Dei their regular confessor.
Given that the purpose of Opus Dei is to give spiritual direction, and confession is a primary means for doing so, this should not be surprising or difficult for people to understand.
Still, when a priest of Opus Dei is not available members are encouraged to go to confession to a non-Opus Dei priest if necessary.