Yes we do use 'the' before Niagara Falls. The noun is Falls and the adjective is Niagara. As there is only one set of Niagara Falls we use the definitive article 'the'
The may precede fall if it is referring to something we already know about or is US English the Fall is Autumn (everybody in the US knows it is Autumn and the Fall refers to the time of year) again definite article.
Hope this helps