I would not say it is necessary, but I would still recommend it. There are still situations, when the 256 or 16-colors icons are used. Running in less than 24 bit color is indeed scarce, but it sometimes happens when graphics adapter drivers are not functioning properly. A more important scenario is a remote desktop session, which usually runs in lower color depth. Also, Windows 2000 and earlier systems cannot properly use icons with alpha channel.
Since generating the pre-XP formats is one-click action and the space requirements are relatively low, I would stick with them.
Vista may use 24x24 icons if it happens to need them (maybe in Start menu, just as XP; or when running at 144 DPI - the small icons in Explorer are 24x24).
At higher resolutions, the icons in Vista are sometimes messy. I do not know exactly why, but it seems to sometimes cache the lower-res versions and not refreshes it after switching to higher resolution. Also, I believe that some updates did change the way the icons are handled in Vista. When running at 120 DPI I saw Vista switching desktop icon size from 48x48 to 60x60 and back without any action on my side. Weird. Also the desktop shortcuts created by installer look ugly and when I create a shortcut manually it is smooth. Experimentation is what delivers results in Vista (until the next update, it is a work in progress ;-)), I have not figured it out yet. Having the hi-res image in an icon and praying is a good strategy.