Some do; most don't. The fat dripping on the fire below adds its own flavor profile, which some folks don't care for. Try it both ways to see what you prefer. I don't use a drip pan or water pan unless I catch the drippings for gravy. When I do a turkey, I put a drip pan on the rack below it, and prime it with some water so the first drippings don't burn up. The resulting drippings get used as a base for gravy- rich, smoky gravy! Otherwise, I don't use anything.
I'm very intelligent, but I mask it by doing stupid stuff.