Most foods in a pellet/crumble form are designed to be water soluble which is digestible without the use of grinding and grit in the gizzard, so if that is the ONLY feed they are getting, no. However, if you feed any treats, seed, etc then that would require grit for digestion.
I feed pellets to my birds that's all they get but I do keep grit out for them its nature for the birds and found them picking at the loft floor so just made it aviable they eat it just not as much I use the red grit for pigeons
I would just to be on the safe side. Laying and grower pellets due have some calcium added and are water soluable as Old Grey Mare already stated. If they free fly they would not be as in great a need.
I have utility kings, and I let them free fly most afternoons when I am at home. They peck about on the ground to get grit.. and also eat weeds and seeds from the area around the house. This is also the time they have a bath in a washing up bowl.
They are able to fly well and fly up to the house roof if they get scared by something.. but my dogs are out there to keep cats away and we don't have any hawks here.
Its very relaxing watching them doing their stuff .. and mixing up with my bantams. I hate to keep them locked up all the time.