Is it necessary to use the ultra-thin filters with this lens? They are quite expensive!

No, it is not necessary to use ultra-thin filters.

It's not necessary to use filters at all but if you wish to protect the lens I would certainly reccomend using a good one.
I use a Hoya super pro1 on mine and can't see any loss in quality, and I feel safe knowing that if scratched it's only the filter and not the front element of the lens that's damaged.

I recommend to use filters only if they are necessary and not as a standard protection (unless you are in conditions of course where you need that protection). This lens is of all Canon L lenses that I know the one that is prone to flare the most. Never shoot without the hood, especially when you use filters. A thin filter is of no use indeed. No risk of vignetting, not even on full frame (or film).

Peter