No. CMG is a Configuration Manager feature for device connectivity. You should use a CMG if you have Configuration Manager clients on the internet, if they're co-managed or not. A co-managed client in an environment with no CMG would have to rely on VPN connectivity when it roams outside of the on-premises network.
The scenario to provision Azure AD-joined co-managed devices does require a CMG. It allows an interned-based device to install the Configuration Manager client after the Autopilot process.
For more information, see the following articles:
Cloud management gateway overview
Tutorial: Enable co-management for internet devices