Do I have to use or exhaust my annual leave before going on an unpaid Maternity Leave?

No.  You do not have to exhaust your annual leave before starting an unpaid Maternity Leave. 

It is important to remember that before your leave you must designate on your leave application if you want to freeze any or all of your annual leave.  Once the designation of leave credits has been made on your application, your leave designations cannot be modified.