Not only is it necessary, it is required by the CAN standard.
Needless to say, there needs to be some sort of common ground reference between two electronic devices, or all bets are off if they try to communicate.
What will happen if you don't have a dedicated signal ground is usually that the supply ground becomes the reference instead. Meaning that the poor CAN signal will be dragged in all the dirt & noise there is on the supply.
Various crapplications manage to get away with not using ground only because there are plenty of high-quality CAN tranceivers on the market that can handle large voltage differences and transients, and differential comparison in CAN also helps to hide away the design flaws.
And of course it is utterly pointless to bother with EMI filters, PCB design for EMC, cable shielding etc etc if you don't even have a signal ground.
