I am creating an additional mail server in the same domain, is connection documents are must?

No,It is not necessary to create a connection document in same domain.This is because, connection document is used only for mail routing and scheduling the Replication. In case of same domain mail routing goes automatically as all the server are going to share the same domino directory. So the the purpose of connection doc in same domain is only scheduling the replication between servers if we want(not necessary).
The concept of connection document is useful amongs the server that belongs to the different domain.

If the notes servers are on the same NNN (NotesNamedNetwork) you do not need a connection document for mail routing

But however, for replication you will need one.