yes you need the Softdevice on your application. In the code of the UART Example yu can see the BLE Stack will be initialized and without an softdevice on your chip i won't work. You have to use nrfgStudio to load the softdevice on your chip.
That depends on which example you mean. Nils is quite correct that the softdevice is needed for the ble_app_uart that has been distributed here, but if you mean the uart_example in the SDK, it depends on the target settings (i.e. the targets that ends with _s110 needs the softdevice, the others don't). Target can be selected from the drop down next to the download button in Keil.
