It's not absolutely neccesary Ted. The original design that used this
cap did not use any gridstops on the output valves. If the lead dress
is ok and there's no oscillation it can be left out.
However subbing in different values can have a benificial effect on
tone...depending on your own opinion - 
 
JMHO
Pete 

 These "snubbers" can come in handy to tone down the sound a
bit if it is too harsh, as well as help eliminate possible oscillations. I'll
usually try an amp out both ways (with 'em and without 'em) and
more often than not I leave them in (47pF, 100pF or sometimes
even 150pF).
 
    BTW I had avoided these snubbers for a long time, figuring that
they were just tone robbers but I found that I like the way they
smooth out the sound a bit. They are one "fine-tuning tweak" that is
often omitted from a printed schematic simply because they might
vary in value from one amp to the next.
 
Steve Ahola

They are not present on the Hoffman boards but in my opinion I
thinks it's worth while to put the 47pF on there  It makes a
noticeable difference and if you are building a 100% stock plexi
they can have some bright top-end. Again, as everyone mentioned
using different values can be pretty cool as well.
 
Along different lines (but similar--ha, ha) the Silver Faced Fenders
that had the caps running to ground on the power tubes often times
were missing the 47pF cap (across the plates). When you remove
those caps (2000pF's?) sometimes the amp freaks out and
sometimes it doesn't (50/50 chance--ha, ha). Always make sure to
check the amp at all levels because if it doesn't oscillate at lower
volumes it may want to take off on you at higher volumes. Typically
installing the 47pF across the PI's plates will take care of this and it
sounds far better than having the large caps to ground on the power
tubes.
 
Have fun when tweaking and building!
Trace

 The PI has a tendency to osc around 40-50kHz IIRC and that's
what the cap is for - to suppress that tendency and stabilize the
output section. I use it in all the 5F6 style amps I build. Don't leave
home without it.. 
Speed