No, you don't have to use one. On the stock set up the Safety relay was used to prevent damage to the gears between the starter and engine.
On the later models it also incorparated a relay to keep the headlight off untill the engine was running. The battery is ok when everthing is working right, but if it gets a little low it won't start well using the electric starter with the headlight on.
With the relay keeping the headlight off, full battery power can be used to start the bike.
If you use the starter then you need a starter relay. This is a relay that lets a small wire and contacts with a small current flow to control a very large current draw to crank the stater over.
Leo