Its mandatory, The reason is because there are different types of protocols that can be used (http, ftp, et al...) so you need to specify the type of protocol.
The protocol need not be specified in relative links (links to locations on the same server).
So if a page located at http://www.mywebpage.com/files/hello.html
had a tag
<a href="morefiles/yay.html">
this would be essentially the same thing as
<a href="http://www.mywebpage.com/files/morefiles/yay.html">
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