Since the arrival of the 486, all CPUs need an heat sink. Up to The original Pentium, a fan was not required.
If your "grill" sit BETWEEN the CPU and fan and get hot to the touch, then, it's the heat sink. It's ABSOLUTELY needed unless you want to fry your CPU.
If it's situated ABOVE the fan and stay cool, then it's probably just a protective grill.
Since the Pentium II, all CPUs also need a fan as passive convection based cooling is not enough.