Not at all (unless you want to use it to do certain things like database acces ,etc). You can use almost any server side scripting language with flex (IE php, .net, java, etc).
Adobe would just like you (on some level) to use CF as it is ther product.
Simply Adobe's server side language that they include for a local development.
Just think of it this way....
html = flex
php = coldfusion
I hope that clarifies it.
It's just that after I uninstalled coldfusion that my flex pages don't display when I run them.