If you want the two GPUs to share data, then SLI Bridge is recommended.
IIRC, it is actually possible to share data without SLI Bridge. But this is slower, as data must flow from 1 GPU to the PCIe then to the CPU then back to the other PCIe then finally to the other GPU.
If your purpose does not require sharing of data between the GPUs, then you can make use of the power of the GPU without using the SLI Bridge.
So, to answer your first question directly:
SLI Bridge will not improve performance if data is not being shared between the GPUs.
For your second question, whether or not the SLI Bridge comes with the Motherboard depends on the Manufacture (whether or not they are generous in giving you one). Sometimes, GPU manufacturers also provide SLI Bridge with their GPUs. Usually, if you need 3-way SLI Bridge, that is when you need to purchase one, as most manufactures do not include those with their GPUs (unless, of course, you buy them as a bundle or specially designated set).