You don’t “have” to grease your hitch ball before use to make it work right. However, it is recommended for proper maintenance and care.
Grease will give it more protection against rust buildup over time. You won’t have to battle against a squeaky connection.
The most common complaint is that the grease collects dirt and other debris that will scratch the coating of the metal ball.
You could use solid candle wax to coat the hitch ball. The application makes a bit of a mess, cleaning it off when finished is a cinch.
How often you grease your hitch ball depends on the use it gets. At the very least, you should grease it every spring and fall.