Technically speaking Pega is no different than any other development environment/language. There are recommended best practices and it is up to the developer(s) to follow those best practices or not. This applies to the use of sections and harnesses. Bottom line you are asking if you always have to follow best practices, so if the Developer Studio will allow you to build a page without using the recommended structure/components then you are free to follow the pattern that you desire.
In multiple places you will note that Pega encourages architects to follow the principles of modular application design, to include UI design. In support of this recommendation Pega provides different types of UI records for content, structure, and formatting to include harnesses.
A harness is a broad container/object used to control the contents and layout of pages. A section is a single section of that page, and may be used in multiple places.
Harnesses and Sections are used differently. Pega applications commonly use four standard harnesses: New, Perform, Review and Confirm. Think about the Perform harness which is the default harness used for assignments in a standard flow. While the Perform harness contains header and footer sections, it also has a container to handle the display of the flow actions. With the selection of a dropdown, showing your available flow actions, the container will show you different sections (to correspond to the chosen flow action).
Without the use of sections a complete copy of the Perform harness for every assignment would need to be created, to display the HTML data for each "action" area. Thinking about this from a simple software engineering principle, don't repeat yourself (DRY) is a principle of software development aimed at reducing repetition of software. If you have multiple harnesses that don't use sections, and you want to make a change then you have to make that change multiple of times to the change in all of the harnesses.
As a general rule think of the hierarchy of page as the screen harness, screen section (or screen layout and section), layout, and control.