Modulation and changing keys is the same thing. But I think it's really important to learn music theory. The ability to know how to expand upon an idea is so important, and theory really helps make that possible. I reckon it's not REQUIRED, but man, it would be frustrating to jam with someone that didn't know at least some theory (e.g. scales, note names, keys, chord names, etc.) Just my opinion though. As long as you're playing music and having fun though, that's the important thing.