In a word, no. A reply set is not necessary for a very traditional reason. That said, it's a modern convention for a very good reason. Read on.
Reply cards have become the norm, but it wasn’t ways that way. In fact, they were traditionally seen as an either naive or rude implication that your guest would be so uninformed as to need a little social push. Today a reply card is a nice convenience to offer guests. It is also widely accepted as anything but crass. That said, it is not an etiquette necessity. If you decide to include a reply card or reply set (and most do), etiquette plays an important role in formatting a clear and useful reply prompt.