Not always, no. Controls systems can electrically reference ground in several ways. They can call the common side of an XFM ground, and they can tie the internal (DC) gound to earth ground. Often a (internal to the circuit board) tie is made between the common side of an XFM and earth ground as well. This is also typically done on a 3rd party powered tranmitter (4-20mA device for example).
In these cases a "hard" (earth) ground reference is required to assure there's no floating ground or ground loop. The easiest (and most foolproof) way of doing this is to tie one leg the XFM to ground and to call it ground instead of common.
On XFM's that are not grounded you can be a little more free in how you design your controls interface, but it's bad practice. Good practice dictates that even though you're dealing with AC, think of it as DC, keep the hots together, the commons together and make sure it's safe to pull common to ground at any point in your scehematic regardless of what the equipment manf. has done.