Nup. Enter the hold via the sector entry at the holding altitude. There is no requirement to enter at the MSA.
I can just see the ATSB report now. The cause of this fatal accident was the pilot in command elected to descend on track to the holding aid in order to arrive at the holding fix at the published holding altitude. The published holding altitude was 4000 ft and the lowest safe altitude for the sector he was arriving from was 6900 ft. The aircraft impacted terrain at 5100 ft at a distance of 20 miles from the holding fix.