It's not a must, but with the relative light weight and added durability of a double walled rim there's no reason not to go with them if you have the money for them.
If it's a matter of a particular bike having stock single-wall rims, talk to the LBS and see what sort of price deal they're willing to work out for a wheel swap.
When I bought my Cross Check Complete and asked for a bunch of part substitutions, my LBS gave me an itemized receipt of new part costs and stock part trade values.
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"I feel like my world was classier before I found cyclocross."
- Mandi M.