Absolutely. You want the metal shell at ground potential. Anything else and you're asking to be shocked. If there was a short you would probably feel a jolt, but a grounded shell is the shortest path for electricity to get to ground, the electricity flowing through you will have more resistance. A large amount of electricity will flow through the shell and blow the fuse.You sure? We are talking about earth ground here, not DC ground. In the event of a surge, if the metal shell is the ground and the player is touching the metal shell which will be the case in the playing position, wouldn't the player be in for a shock?
Guess what happens if the shell isn't grounded?