Hi That diode is used to clamp the output voltage of the regulator to within .6 v of the input in the event of sudden loss of the input(blown fuse ect.) it is only needed if one or more of the following conditions exist
first possible large capacitance beond the regulator.
Second possible inductive spike driving v out above v in.
Third when using the regulator as a high voltage regulator either with high voltage pass elements or as a direct regulator that maintains V in - v out within the range of the regulator.
eg. v in 700 volts v out 680 volts v diff is only 20 volts , but it is constant.
In general if you do not control the final load conditions that diode is needed, if you do control them it may be omitted, at the risk of damaging either the regulator ,or the connected load by exceeding the over voltage on pins driven by the regulator when the supply for the device comes from a different source driven by the same input. (power supply sequencing during failure mode. hth Terry