I've seen 3rd members that had no gaskets (just RTV), but this is not the way they came from the factory. This means at some point, someone was into the rear end assembly and didn't replace the gasket at the time the 3rd member was re-installed.
I don't know how critical it is to have the gasket, but consider this; The position of the 3rd member is indexed off the machined face of the rear end housing. The gasket would not only serve the purpose of sealing the housing from oil leaks, but to a degree, it's also a shim.
Without a gasket, the 3rd member will be pushed several thousands of an inch further into the housing than it was designed to be. This would also have some degree of affect on the alignment of the axles relative to the differential (more side-loading of the axle and axle gear splines).
If it's your vehicle, then it's your choice as to what you do with it, but the gasket is cheap, and puts your vehicle's rear end setup back like it was engineered to be.
3rd member-to-housing gasket (for a 9-inch rear) is Fel-Pro p/n RDS 55074 (or, O'Reilly p/n for the same Fel-Pro gasket -- ROL DS14210).