No, it's not a necessity. Although it is recommended that you feed frozen thawed most of the time. I give my snakes frozen thawed, and the occasional live rodent. With frozens you do lose SOME nutrients. It's also good for the snake to excersise that natural instinct to constrict every once an a while.

Frozen thawed is VERY conveniant. You just grab a mouse/rat from the freezer, thaw it in warm water (NEVER in a microwave, unless you want a disgusting gutty mess) and feed it to the snake.