Triple booting a modern Macbook (early 2015) with Bootcamp in EFI mode
The short answer is yes. Starting with the 2015 Mac models, you can not use the "hybrid MBR" mode. You must use GPT partition scheme for all operating systems installed. Installation is fairly straight forward. When installing Ubuntu, I would advise that you create a second EFI partition. This would allow you to use the Startup Manager to select the current and default operating system to boot from.

The order of installation would be OS X, Windows and finally Ubuntu. This allows you to use the Boot Camp Assistant to install Windows. After installing Ubuntu, you will need to copy some files from the first EFI partition to the second EFI partition in order for the Startup Manager recognize the Ubuntu operating system.

To get Ubuntu to appear in the Startup Manager, you have to manually mount the both EFI partitions and copy the files in the \EFI\UBUNTU folder of the first EFI partition to the \EFI\BOOT folder of the second EFI partition. Also, the copied grubx64.efi file needs to be renamed to BOOTX64.EFI.

You can also use rEFInd as a boot manager. While rEFInd is not required, it does have the advantage of not having to hold down the option key a startup to switch operating systems. Personally, I have it installed in its own EFI partition, but I rarely use it.