Definitely not a must IMO- I think it's a good feature but not in every situation - removable cable connections also add another point of mechanical stress and manufacturing complexity, and virtually all of my headphone failure issues have been with connectors, either the headphone jack or cable connectors- if I had my druthers, all cables would be replacable/repairable, not necessarily 'removable' and feature robust strain/bend reliefs.
Proprietary cable connections are one way manufacturers can try to address the issues with universal connectors, or might allow for a particular design that is not possible with generic connections, so I don't think they are universally unnecessary, though from a consumer perspective creating a new open standard is preferable to an exclusive copyright type of situation.
Most of my removable cable experience is with IEMs, so just as an example I think Sony's EX connectors or the relatively rare threaded SMMCX standard are improvements over commonplace 2-pin and MMCX in a lot usage cases.
