Yes, they do. A pilot is nearly always part of the development process. Here's how it usually goes: showrunner pitches the idea to the network. The network likes the idea and orders a pilot. The network likes the pilot, so they order several episodes. Very rarely does a network order a season of a show without even seeing a pilot. And very rarely is someone going to invest in filming more than one episode of a show without a network planning to run it.
There's nothing good about running the pilot, then making a major change for the rest of the series. That is actually lazy writing. These days, there is more concern about continuity, so if a change is needed, they will usually film a new first episode. The original pilot will not be shown, but sometimes is included on the DVD release.
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