On theyworkforyou.com (see: example 1 or example 2), one can see that many MPs are using the exact form of words to express that 'It is a pleasure to serve under your chairmanship'. Are they strongly expected to do this, or is there some other reason?
Yes, this form of words is the expected formula to recognise the chair.
The use of formulaic speech is part of the decorum of debate. As is well known, debate in Westminster can be pretty cut-and-thrust. These fixed expressions help remind everyone to be polite, to address the chair (not the opponent) and remember that it is a debate, not a brawl.
Formulae also are like having a uniform: you don't need to think of your own way of recognising the chair, you just repeat the formula. Nobody is seen as being rude by not saying enough; nobody is seen to be brown-nosing by saying too much. Having a uniform phrase keeps things simple.
I'm sure that someone could decide not to thank the chair, but it would upset the propiety of debate, for little purpose.