No, I suppose not. For example, if you never use SMGs and don't use squad members that use SMGs, there isn't much point to buying SMG upgrades. However, I don't really see any point not to, buying everything in the shops really isn't that hard.
on insanity i duno.... the pistol upgrades feel useless because the pistols have tiny clips/max ammo, do very small amounts of damage, and don't seem to fire very fast for a pistol. really the only time i used them was if my other guns ran out of ammo. other then that getting every single upgrade you can means, you and your squad deal more damage and can survive longer/better.