The only software that is absolutely required for the Intel Xeon Phi coprocessor is the MPSS, containing the drivers, communication libraries and coprocessor operating system. The MPSS is available for download at: https://software.intel.com/en-us/articles/intel-manycore-platform-software-stack-mpss.
The MPSS includes a copy of gcc which will generate code for the coprocessor. However, the gcc compiler will not generate vector code for the coprocessor. In order to get optimum performance from the coprocessor, code must both vectorize and parallelize. So, the answer to your question is - no, you don't have to use Intel Parallel Studio XE, but, if you don't, you will wish you had.
You can get a 30 day trial license for Intel Parallel Studio XE 2015 at https://software.intel.com/en-us/articles/try-buy-tools. Another option right now is the Beta version of Intel Parallel Studio XE 2016 available through the pre-Beta survey site
