Is there any dessert that needs a knife?
In certain cultures whole pieces of fruit, like an apple, for example, will be served for dessert and the diners are expected to eat it using fork and knife only - no fingers. as far as traditional desserts such as pies and cakes, I'm sure you must mean whether the individual serving requires a knife because, of course, a whole cake or pie must be cut into individual servings. I've only seen dessert forks offered for traditional baked desserts.  There's an interesting website on manners that deals specifically with eating desserts using a fork and spoon, but no knife.

http://www.etiquettescholar.com/dining_etiquette/table_manners/dinner_etiquette/desserts/desserts.html