That’s right. As per OpenID Connect Authentication Plugin, you’ll need to install the https://github.com/discourse/discourse-openid-connect plugin.
Some functionality is a part of Discourse (core) and is included in the base Docker image. The rest of it (OpenID Connect, custom Oath2 and other plugins) can be added through our 100% free and open source official plugins by following Install Plugins in Discourse. When you’re self-hosting, you can install any plugins (regardless of tier) because they are all available here on Meta and are open source.