Do I *need* a TVS Diode at the USB connector?
Yes, you should have ESD protection on all external connectors, including power, USB, audio, SIM cards, SD cards, etc.  It is considered good practice to include them.

ESD damage has become more of a problem as the geometries inside IC's shrink, making them more susceptible.  I haven't seen any statistics on ESD damage, but I would guess -- and this is only an order of magnitude guess -- that for unprotected devices it is closer to 1 in 1,000 than 1 in 1,000,000.

This device is less than half the price of the one you linked to.  It is available for 15 cents in 1000 unit quantities at Digi-Key, and is especially designed for USB and other high-speed data applications.  Bedsides the three channel, it is also available in two, four, and six-channel devices.  I have used it in several commercial products which have undergone lab testing to 8 kV.