No, you definitely don't need a sump. It is really helpful though for a bunch of different reasons, including giving you a place external of the tank to mount other equipment, increasing the overall system volume and helping remove the scum that can collect at the surface of the water and inhibit gas exchange and light transmission. But a sump is far from a requirement.
I started my very first reef tank with a canister filter and, honestly, I'd not do that again. They're a pain to clean, meaning you are likely to clean it less often and so it can become a nutrient sink. Better to use a good hang on back protein skimmer; the mechanical & chemical filtration that most external filters employ are less necessary for reef tanks, where you really want the biological filter living on the rock.
Hope that helps!