Writing back the modified data to memory is not strictly necessary in a MSI protocol. The state diagrams also seem to assume a system with low cost memory access (data is supplied by memory even when found in the shared state in another cache) and a shared bus connecting to the memory interface.
However, the modified data cannot simply be dropped as in shared state since the requesting processor might only be modifying part of the cache block (e.g., only one byte). Whatever portions of the block that are not modified by the requesting processor must still be available either in memory or at the requesting processor (the other processor has already invalidated its copy). With a shared bus and low cost memory access the cost difference of adding a write-back to memory over just communicating the data to the other processor is small.
In addition, even on a word-addressed system with word-sized cache blocks, keeping the old data available allows the write miss request to be sent speculatively (as with out-of-order execution or prefetch-for-write) without correctness issues.
(Per-byte tracking of modified [or valid as a superset of modified] state would allow some data communication to be avoided at the cost of extra state bits and a more complex communication system.)