I dont think they are a must no. We didnt have one for DS. Only reason we have one now for our second baby on the way is so we can shut her door so she hopefully wont wake DS during the night.
Its funny.. even though our bedroom is some distance from the kids rooms.. you just have this instinct thing that wakes you up when they need you. I use to be the heaviest sleeper.. sleep through anything.. but i always wake for DS without fail.