This is probably a state by state issue so you might want to check your individual state laws. However, I live on the border of 2 states and both Indiana and Illinios have very similar laws.
If a tractor is on a public roadway (gravel, or paved) then it must have its lights on and it must have a SMV sign properly mounted on the rear. There are 2 different standards for SMV signs, if you decide you need one, then you might want to buy the more reflective version (ASAE standard S276.5) which is the newer standard and (I believe) accepted by all states while the older less reflective version (ASAE standard S276.4) is still accepted by most states it appears to being slowly phased out. For the extra $2 difference in price, I'd get the higher standard.
If you only operate on your property you don't need one if you don't drive down the roadway.
I have several of them, but I will also admit that sometimes I drive down the road (usually not more than a 200', but occasionally a mile or so) without one depending on which tractor I happen to be on and what is mounted on the tractor at the time. I do always use my lights when on the road, day or night.