It doesn't, although if you have an enclosure it's a good idea to use a nut just to hold it in place. If it's a metal enclosure it's probably already grounded so will act as a shield (and if not grounded, make sure to do so), and adding another path between ground and the antenna isn't going to make much difference. The SMA plug will only use about half of the available thread. Note that SMA has a torque spec, which for casual applications like this can be stated as "until you feel resistance with a 3 inch spanner wrench", ballpark speaking. Err on tightening lightly.