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They don't need one but I find they're easier to use with one. You can make sure they're nice and firmly located before screwing anything in. Also farfowl was saying they couldn't get purchase at the back which the setting tool should fix.
Edit: thinking about it the last time I used these was on a tiled wall so the spike couldn't stop it spinning
aggi-
It wouldn't be my go to on tiling but it's good to have choices. I thought the problem with insulation is how it fouls anything spun into it, the type I linked to have the advantage of only needing to be screwed in directly and the insulation then provides a little extra grip. I'm sure they're not rated for the same weight but there are only a few circumstances where that would be more important than the shear strength of the wall.
Airhead
I don't think that type need a setting tool. As @Howard has already mentioned, Vitsoe provide the Hilti version for use with their system when it's mounted on plasterboard. The little hook you can see on the underside of the face plate stops it from spinning while you do it up (almost all of the time!).