If you want the fish to act naturally and be able to create it's burrow then yes, it is necessary. If you want to stress the fish and not have it settle in the tank then no.
It is symbolic of the Jawfish that they make burrows to live in, if you cannot cater for their needs then it is not a good addition to your tank. If you want a fish that's similar looking but doen't need a deep substrate then the Yellow Watchman Goby is quite a good match.
If you do decide to get a Jawfish then a 5" deep substrate of varying grain sizes along with rubble pieces is recommended to aid their burrow construction.