Yes. If your diamond doesn't have a grading report (a certification) you have no way of knowing that you're getting what you're paying for. Differences in carat, cut, clarity and color can make a big difference in price and you won't be able to see those differences unless you are a gemologist and have access to a lab. The original diamond grading lab is the Gemological Institute of America (GIA). They developed the 4Cs system and have the toughest standards.
Certification is also necessary if you want to insure the diamond and is highly recommended if you ever want to trade up or sell it.