Though optional, every message SHOULD have a "Message-ID:" field.
  Furthermore, reply messages SHOULD have "In-Reply-To:" and
  "References:" fields as appropriate, as described below.

For the uninitiated, SHOULD denotes the following in RFCs:

  This word, or the adjective "RECOMMENDED", mean that there
  may exist valid reasons in particular circumstances to ignore a
  particular item, but the full implications must be understood and
  carefully weighed before choosing a different course.