adjustable pressure relief valve on a gas water heater
Yes !!!  it is absolutely necessary to have a T&amp;P valve to prevent the water heater from exploding if for some reason the pressure was to become to great and keep building. If the pressure in the water heater increase above the safe limit the T&amp;P valve will open and allow some of the expanding water to escape out until the pressure reduces to a safe level,  then the spring in the valve will close again. 

I have not heard of an adjustable pressure valve for a water heater,  Some home have a pressure regulator on the incoming water supply line so you can set (reduce) the water pressure to some other value than the incoming pressure from the city supply.