Why does Lasagna need to be baked?
Besides cooking some of the components (if you roll your own pasta or use some dry pasta sheets that don't have to be pre-cooked and can be assembled directly as long as they're submerged in sauce or they'll burn) the point of baking is to enhance flavor by forming a crust on top and to melt any cheese that you put between the layers (e.g. grated parmesan, some put mozzarella or provolone cubes). But mostly crust and flavor. 

Personal opinion: as Italian, I could not think of a crustless lasagna.