Do I Need To Complete The 4 Stages In This Order?

Actually, you don't! Particularly if you look at the 4 stages and see that one of them looks to be a huge challenge.

In some cases it can be much harder to build a prototype (to validate the product) than it would be to build a landing page (to validate market demand).

These criteria, along with their sequencing, are all simply recommended guidelines. The ultimate goal is to be as lean as possible and you're the one who is in the best place to decide this.

You should validate all 4 before building your product, but jumping out of sequence can often be a smart decision.