I dont believe you are required to withdraw using lightning. They will email you after the auction has ended to refund your bid deposits. Their team is easily reachable if you have more questions.
You are not required to use lightning network to use the site, however if you are not a verified user and only using on-chain deposits as collateral then the experience could be sub-par...specifically in the closing minutes of an auction. You risk not getting the required deposit amount on-chain before the auction is over. (on second thought I think they changed this to show as "pending bid" for on-chain deposits). I've jumped the gun a couple times and bid on top of a pending bid which subsequently disappeared...I had back to back bids at that point. Not a huge deal tho.