Yes you do need to use MDX to get this feature done. Below is the code I currently use on one of my script where I didn't want the titlebar.

Code:
on *:dialog:loading:init:0:{
  $mdx MarkDialog $dname
  $mdx SetFont $dname 2 -a 11 600 Dungeon
   [color:red]$mdx SetDialog $dname style dlgmodal[/color]
  $dll(system\dlls\VStyle.dll,NoTheme,$dialog($dname).hwnd)
}


The line of code in red is what makes MDX remove the titlebar.