Yes, it just happened to me. I made three separate reservations for later this year (made the ressies on the same day). Two of the confirmations came, but the third never did. I called yesterday and asked for it. I've read previously about people who have had to call several times and never did receive a copy of their confirmation.
You don't have to have it to check-in, but I like the warm fuzzy from receiving the confirmation in the mail.
Good Luck,
Lissa