No, it's not absolutely necessary to measure it, although you don't really measure it per se (it's simply your achieved OG divided by the theoretical potential of your fermentables).
Instead of figuring it out, You can just assume that you'll get some arbitrary efficiency and then adjust your grain bill for later brews. For example, you could assume that you'll end up with 1.050 from 10 lbs of grain. Then, if you only end up with 1.045, you'll know that your system is less efficient than your assumption and mash next time with 11 lbs instead. Conversely, if you get 1.055, you'll know you need less grain for future brews to achieve a given O.G.
This is really the only reason it's important IMO. Otherwise it doesn't really matter, unless you're a commercial brewery using hundreds of pounds of grain and trying to minimize your costs.