It's certainly not manditory, really more of a personal preference.
I use primer most of the time to check for problems with glue seams and to give a consistent base for color coats. I use Testors gray primer most of the time, but also use flat white if the if the final coats are going to be lighter colors like gloss white, yellow, etc.
There have been lot of in-depth discussions on this subject in the past. It might be helpful to use the search function to look up some of the older threads.
Mark