Do we really need a Load Balancer between Workflow Manager Farm and SharePoint ?

Well , It  depends .

If you have a Workflow Manager farm (more than one server) and one of the WFM EndPoints recieve a request without any load balancer ,it balances the load across the WFM servers .Yes thats correct . WFM farm have an internal load balancing mechanizm to do that.

But if you don’t use a load balancer ,WFM only balance the load , not switch between endpoints if active endpoint dies . There is only one endpoint be active at a time . And if something happens on that EndPoint or its host machine then you may face an outage even your other servers are alive. Because SharePoint knows only one endpoint url and it is not reachable.

So it depends that how much you want a high availability . Actually in real , load balancer is resposible not to share load , just keeps high availability if an endpoint dies  between your SharePoint farm and WFM farm .