No, you can freely build or mine planets and moons outside UEE controlled space but you're on your own as far as security goes. It's worth noting, too, that one of the largest deterrents to others moving in on a valuable section of land you're working - or taking liberties with an outpost you've constructed - is the fact that within UEE space such actions are criminal and will have significant consequences for the infringers. These protections, of course, don't exist beyond the borders.