No, not as such. Some systems even require it.
But it's always a good idea to follow the conventions, if possible.
I don't think it's THAT dangerous - even in linux - to prepare another stack for a program. Linux sets up a stack anyway (unless you explicitly say "no thanks"). But one better be careful not to get confused with the stacks.
A good and beautiful idea it is not, in case of Linux or Windows, because it's against the conventions. Also it's somewhat more (unnecessary) trouble.
In many RTOSes you have to set up the stacks yourself.