Well I did my research and YES you need to use it and here is why...
1) when the DEF tank is 1/2 full (around 4k miles) you will get your only "nice" warning...
2) when the DEF tank get within 500 miles of being empty, the computer puts a speed restrictor on your truck
3) when you get to 50 or a 100 miles from empty the truck gets put in a valet mode haha
Now I have never seen this or heard of anyone personally that has had it happen to them but when I was researching the build on my new F250 6.7L, this is what I found most sites saying. #3 might be a different mileage to shutdown, I cant remember exactly