I use ICSP all the time, and never used a diode. It's not necessary in most situations. In some situations, it can actually cause problems. For example, if the power is cut off briefly, there's a increased chance it won't reset because MCLR was never discharged thus there's no low-to-high transition on MCLR. And MCLR high level is one Vf diode drop lower than Vdd, which usually works but again depends on your conditions.
The resistor IS still needed, because tying MCLR to Vdd carries a risk of startup problems. Most of the time it'll work, but it's not recommended; just not reliable.