I mostly use the code-first approach and there defining the relation table is optional for many-to-many relationships. Going from this, I'm assuming that the MVC framework in general considers this to be optional. So, the answer would be:
Must UserRole have its own Model? No.
Can UserRole have its own Model? Yes.
Should UserRole have its own Model? If your many-to-many only contains two id's, I would not add it to the model.