According to MDN.XMLHttpRequest#Browser_Compatibility, the basic support is available on Chrome, Firefox, Opera, Webkit (Safari) 1.2+, and Internet Explorer 7+. IE 5 and 6 only support the ActiveXObject method.
So, the answer is No: If you are not planning to support IE 6, you can directly use XMLHttpRequest without the try/catch mechanism for falling back to the ActiveXObject.
However, I suggest using a library that hides all AJAX logic, jQuery.ajax
for example.