In most instances, yes curtain lining is utilized for a number of reasons:
White or off-white curtain lining fabric will provide uniformity to the rear facing side of your window treatments so no matter what pattern or color curtain fabric you actually use, there will be a uniform white or off white look to your windows from the outside of your home.
It is not typical that curtain fabric itself is manufactured to withstand UV damaging light. Curtain lining fabric can block UV light from damaging your curtain material.
Using a thin curtain material alone will not adequately keep light out of a room when the curtains are closed. The use of a curtain lining fabric can substantially block light.
Curtain lining fabric adds weight and gives an appearance of fullness even with the use of a light weight fabric.