You must scald milk before using it in certain recipes - No, but in many cases you need to gradually bring the temperature up to prevent curdling when adding it to other hot ingredients. Milk and Eggs especially. Usually to do this you add a small amount of the other hot ingredients to the eggs or the milk while stirring it well. Then add some more, etc etc until the temp is high enough not to cause thermal shock when adding it to the rest of the hot ingredients.
Just an FYI I picked up from watching too much Alton Brown.