Yes. The CEBA is designed such that you need to go with your primary financial institution, which is why it's so important that all financial institutions, credit unions included, have access to the program. If your primary financial institution is a credit union, you need to go to them first—not even first: You need to go them in order to access the program.
It is important, because they do not have the option of just walking across the street and going to another financial institution to access that program.