No, oral steroids (or intervenous or injected steroids) don't have
to work. In fact, folks will find that they might work one time, and not the next. Or work several times in a row, and then not work. Or work for some symptoms, but not others.
The side effects of steroids can be very damaging, especially long-term. Many of us have chosen to not take steroids (in whatever form) because the side effects can be more debilitating than the disease. And many doctors won't prescribe steroids unless your symptoms affect what doctors call
"activities of daily living" -- being able to feed yourself, or dress yourself, or bathe, or eat, or your bladder shuts down, or your legs will no longer support you, or something that makes it extremely difficult to stay at home (not be hospitalized) and care for yourself. Doctors will avoid giving steroids for things like sensory stuff (burning, tingling, numbness) and instead give pain meds if the burning is particularly severe, and otherwise have the patient "wait out" the other stuff.
...I am not a doctor, nor health professional, and don't pretend to be one, here.....