Not sure that I would say it's a must, but there is a definitely significantly more. It's easy to imagine that it holds greater meaning as well simply because most places are interviewing 20-30 candidates max. However, it's still up to the program director to determine how much weight to place on such communication. And if you are a low on their list, your interest isn't going to move the needle much.
When I was going through the process half a decade ago, I sent thank you emails every where and for places that I liked, the messages were more involved, asked further questions to try to garner a reply, etc. I had a well connected fellowship director at my residency program that I met with after I completed my interviews, and we went over my thoughts on each program. Even though he wanted me to stay, he understood that his role was to help me get where I wanted to go (in part because he knew it reflected well on his division and program). He reached out to the places high on my list to share my interest, and he also got a lot of communication from a couple of places that were keen on me. That was an extremely useful set up.