Well, you're certainly protected against lighting surges coming in over the phone line from outside the house; however, if you have the phones routed throughout the house and lightning were to somehow get to any of those lines, the surge would then travel throughout the house.
The lazy part of me wouldn't bother, but if you are plugging specifically into an alarm panel then it certainly wouldn't hurt anything to have it. It's far less likely to happen now, but hell, anything is possible.