Yes, it is necessary. It protects the hard drive from EMI and protects your other hardware or your case panel, depending on which way the shield faces, from the heat of the hard drive. On many drives it also protects the drive electronics from making contact with potentially conductive surfaces in the event of a drop or severe bump. Regardless, you should put it back. They put them there for a reason, not just because they like adding extra cost on to the required materials.