No, it's not mandatory...they put it on there as an additional product sold to you. When leasing, most lease companies have a GAP insurance included at no cost to the buyer...it's to help you if your car is in an accident and written off...if you have an outstanding balance of say $15000 and they value the car at $10000, it makes up the diff on your behalf.
I would call the dealer and get that taken off.