Is Managed Resource Group Mandatory for creating Azure Databricks
The managed resource group must exist as this is where your cluster(s) will be created. To ensure that nothing breaks them, they are placed in a separate resource group that has a super lock on it so you cannot modify anything in it.
There is however the ability to deploy into your own vnet (currently in public Preview) https://docs.azuredatabricks.net/administration-guide/cloud-configurations/azure/vnet-inject.html
Note that the Managed Resource Group is still created and required when you do this.