No, you do not need it to close a file... BUT you do need it if someone sue's you. E&O insurance usually, 99% of the time will not cover escrows that have already closed. So if you don't have it now, and someone tries sueing you later, don't think you can run out and get it and be covered.
Why would you not have that coverage? Its like driving without auto insurance, we're on the road a lot we would never take that risk about our auto insurance so why would you not have it for your business?
If you are a broker or an Agent you want it because you need the protection from getting sued.
If you are a Buyer or Seller, you want it because if something goes wrong that costs you money, you want a chance to recover it.
your broker should have E&O insurance that covers you. many companies charge transaction fees to their agents to cover it, but you should have it either way. You will seriously regret not having it if you ever need it.