No, but it's better if they do. Rather than saying a 21st century film or book reflects Romantic thinking, it's better to find something from the era and then you don't have to justify your choice as much -- it's right there in black and white that the text is from that time. My Ext.1 teacher was saying that even Romantic paintings are good texts because you're not just exploring the depth of the literature, you're exploring the historical period, and paintings can actually express alot.We were asked to pick our module and chose Romanticism. We're doing Keats, Coleridge and Wuthering Heights.
If anyone's stuck for extra texts, consider 'Faust' (Johann Wolfgang von Goethe) -- it's fantastic and very Romantic. Although it's quite hard to read, it will give you an advantage if you can get help with it from your teacher, because the BoS might not even know what you're talking about!
I'm also doing some of Grimm's Fairy Tales and a Tim Burton movie (maybe Corpse Bride or Edward Scissorhands). Your related texts don't have to be set in the Romantic era, right?
Just an idea?