What kind of feedback are you looking to provide? It students are submitting documents then you could always have them send you links to Google Docs or MS Docs (Onedrive) and just provide comments on the actual document.
If you want to provide feedback in Speedgrader, then yes that would need to be set up in Canvas. You can set the assignment to "Not Graded" or simply set it to Points but specify 0 points. This would give you the option of adding a rubric to the assignments and providing feedback on each criterion. I also like the ability to record webcam video feedback in Speedgrader, but most of the time I will use Canvas Studio or Screencast-o-matic to record a screencast with assignment feedback. Then I send students the link to the video.
So, all these thoughts really depend on the type of feedback you want to provide students and if you want to house it all in Speedgrader (which is typically my recommendation).