Is connecting the V_REF- pin for a dsPIC mandatory?
Your assumption is correct.  They do not need to be connected.  The red circled part is confusing from their end... The Vref- they refer to is the internal Vref- rail: either from the Vref- pin or from the Avss, depenging on your configuration.  Using the Avss as the Vref- would also unlock AN1 as a normal analog (or digital) I/O.