Yes in nearly all of the A-kasser who offers Lønsikring (wage-insurance) it is offered as a supplement to the ordinary A-kasse membership. So if you want to buy the Lønsikring in these A-kasser you must be a member and pay also for the ordinary Unemployment Insurance.
However, in 1 of the A-kasser in our comparison you can buy Lønsikring without being a member of an A-kasse. This is in "Frie Funktionærer".
The Lønsikring offered by normal private insurance companies (like TopDanmark etc.) you can buy free as you wish.