Indeed, it's a good practice for the reasons mentioned above, even if not required by law.
In Michigan, however, it IS required by law:
On re-reading it just now, I realized that the federal requirement that this section references only applies to implements of husbandry, and, therefore, would NOT apply to a RV being towed by another vehicle.
That being said, I thought I was discussing this with a coworker a while back, and he had told me about having received a ticket for 'improper connection' or something of the sort for just this issue. I need to do some more digging...