When should a waterproof membrane be installed for shower tiling?
Always.

It's a shower. It needs to be waterproof.

A product I've used and liked is RedGard:



You install your backer board, then 'paint' this on. It's basically an adhesive roll-on rubber membrane. You then tile right on top of it.

I like this better than the traditional plastic-behind-the-backer-board for two reasons 1) You can easily put holes in the plastic during construction (screw holes, for instance) and 2) the RedGard is closer to the 'wet side' of the wall, reducing the chances of water getting into the wall.