Yes, you are supposed to, but usually it's not detailed knowledge that is to be memorised on each page and if you're conscious about that, it's easier to feel at ease with the course reading list. The reading is there to supplement and/or deepen the topics you encounter in lectures and seminars. It is there to give you a complete understanding of the subject.

•     Keep in mind that the lectures and teaching often provide clues as to which elements are important in the subject area. These can be your guide!
•     Read the syllabus; it gives you valuable information about what the examinations contain.
•     Try to identify key concepts and concentrate on these when reading.
•     Check learning platforms, websites etc. for additional material on the subject that can help you get grip on the subject's context before you start reading.
•     Practice tests can also give knowledge about what is important to concentrate on.
•     Do not read for too long at a time.
•     Be an active reader.
•     - take notes
•     - ask questions of the text
•     - mark what you did not understand
•     - use coloured post-it notes to signal different things (yellow = important concepts, red = questions, etc.)
•     - underline
•     Read in several steps.
•     - start with a summary reading, reading the backs of books, table of contents, summaries. Familiarise yourself with the subject!
•     - "Scan" now through the text, looking for overarching context
•     - Now go in-depth with what you, from scanning lectures/lessons/etc., perceive as important areas. Take notes! Use colour.
•     Review the most important things
•     Do not give up! It may take some time to learn a new subject area.
•     Read popular science articles in the subject before reading the course literature to perhaps get an easier text to begin with.