In real life you have to configure it before it will work. Sometimes, and it appears Proteus is guilty, the simulation just assumes it is configured properly.
It isn't strictly necessary to use CMCON but it is good practice to do so. In fact it's a good idea to configure all the registers, especially those that would stop it working properly. Although it might work with the default settings when first powered up, if the watchdog timer causes a reset there is no guarantee the values it will restart with will be suitable. By setting all the registers to good values at the start of the program you can be sure it will run properly no matter what caused the last reset.
Brian.