doesn't have to be. i've used both.
if you are going threaded, teflon tape is your best friend. if not, then PVC primer and glue, along with at least 24 hours to cure is a great bet.
regardless of what i decide to use, i always include at least a true union, sometimes a ball valve, on all my return lines. that way i can adjust the pump if i need to, or quick disconnect and swap it out if i have to.
on my drain lines i usually just run the unions, no need for valves there. you wouldn't want to restrict your drain flow.