Do I have to use a Max485 chip in front of an ATXMega microcontroller
Wiki says: -


  DMX512 employs EIA-485 differential signaling at its physical layer,
  in conjunction with a variable-size, packet-based communication
  protocol. It is unidirectional.


So you need to use RS485 interface chips. The fact you have got it working without a 485 interface chip is pure luck but, if you try and transmit any distance without terminators and using a single ended transmission in an electrical noisy environment with inappropriate cable, you'll come unstuck.