Strictly speaking it's not necessary if the bolts are ok, assembled and torqued correctly. The main reason why thread locking compound is specified is to cover the manufacturers backs in the event of a safety related failure.
I recently had a top caliper bolt fall out of a rover 100 offside caliper. The caliper made a horrendous noise when braking. It was pulling into the back of the wheel.
The caliper had been refitted by me without threadlock.
Needless to say it went back thoroughly coated and has been OK since.