Basically there are two "types" of feed: Forages and Concentrates. A horse should have the MAJORITY of it's food in Forage form. Forages are high fiber foods such as hays, and may include a little bit of beet pulp which is not long stem fiber.
Concentrates are things such as grain, corn oil, rice bran, etc. that are a concentrated form of calories.
I would say no, not all horses need grain (concentrates). You add grain to the diet when just forage won't do. Nursing mares, growing youngsters, performance horses, halter horses that are being exercise to fit them for showing... these horses are going to have greater caloric demands than can be met without consuming extreme amounts of forage.
This is how I look at horse nutrition in the most basic elements.
I hope this helps answer your question.
Andrea