So I suppose this question was inevitable...

Renee Montoya's Alter Ego power says "...replace her with a SoG #015b The Question on its orange starting line."

Does this mean I have to have a second figure to alter ego, technically?

No. The single dial is both characters.

But it doesn't say 'turn the dial,' or anything like that. It says replace. And technically, you have to have another figure to replace a figure, I thought. Probably won't matter for local venues, but could be important to know.

Under Replacement Characters in the Rulebook it does not state that the Replacement characters must be off the board. Only that the set number of replacement characters must be agreed upon and that the replacement characters off the board must be on their KO slots.