You do not need to. It's just a best practice. Data classes are meant to be reused. For example, you can define a Data class named "Customer". You create the properties that define what a customer is in the class, and you want a section to allow users to enter the values for your customer. You create this section in the Customer data class.
What this allows you to do is that if you have two applications, Car app and Boat app, both these application defines a Page mode property of Customer, that references the Customer data class.
For each of these application, you need to collect the customer data. With the section now defined in the Data class, you just reuse it. If you did not define the section in the Data class, you will need to create a section in each application that you want to use.