do you need to fill all 6 bays for this to work?

No. Depends on the RAID level you may be required to have a minimum number of drives. If using RAID 0 you can start with one drive.

does this come with HDD??

No, all Synology NAS enclosures come drive less. With Synology you pay a premium for the enclosure because their Software is constantly getting updated to add new features, plugins, and larger drive support. Most other NAS enclosures will not add support for larger drives in the future.