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Not at all. You can play any scenarios in any order. Yes, a given season will mesh more "thematically" from scenario to scenario, but there is no "given way" that the designers want you to go through the seasons.
That said, PFS has grown and learned from itself over the years. I can probably make the brazen assumption that MOST players believe that newer seasons and scenarios are, in general, better designed and more enjoyable. I tell you, some season 0s and 1s are a bit rough still.
Besides, if you started with season 5 only, you would only have 1-2 scenarios you could play (the only level 1-5 scenarios so far are #5-01 and #5-04)! So play what you want!