It is not an immediate need in a new tank, assuming you use a decent salt mix. Real magnesium depletion is very slow. About 1/10th of the calcium depletion rate or less and it often starts very high to begin with.
Over time, you may or may not need to measure it depending on how you dose calcium and alkalinity.
Personally, I think for most new reefers it causes more angst than it is worth since testing is often inaccurate, and that leads to folks worrying or solving problems that may not exist.
Long term, yes, I'd measure it.