You don't have to, but it does make cleaning much easier. Instead of having to clean the whole cage due to using litter in it, you can just use litter in the box and only have to really clean that. You still need to spot clean the rest of the cage, but that is not hard.
Most rabbits will use one corner or area of the cage to pee/poop. This makes litter training easy and you just have to put the box there. You might be able to get away with putting extra litter in that spot and not using as much or even any in the rest of the cage.
If you don't want to use one, no one is forcing you to.