Well, yes and no.
If you need the extra 5 mm of in-focus to get to infinity focus then the grub screw adapter is mandatory.
However, you will need one for every eyepiece and changing eyepieces is a slow process with the long fine thread.
With the external screw adapter you can use a low power eyepiece (I have a 28 mm RKE) as a finder and then drop in a short focal length, e.g. 3,5 mm Nagler, for high power views.
By the time you had changed eyepieces with the grub screw adapter the moon or planet would be outside the field of view and finding it again with a mere 0,5° TFoV would be very frustrating.