Why do we need the specific utility assumption? In many microeconomic models, we read the assumption that agents have CARA normal utility preferences. We need the assumption of the utility to do pricing, but should someone do differently?

Namely, is there a case where we do not need utility functions to make pricing? I think this has to do with the probability measure, if it is unique or not.
One of the most important consideration for using CARA utility is tractability. CARA utility and Gaussian errors yield a certainty equivalent completely described by a simple function of the mean and variance of the Gaussian distribution.. 

It also turns out that maximizing expected utility in this setup is equivalent to maximizing the certainty equivalent - which is a huge advantage in settings where we want some sort of quasi linearity in wealth.