What are the conventional standards of etiquette toward one's boss after receiving a (regular) Christmas bonus?
In my company, any bonus is administered corporate wide and has no individual component to it - basically it's an explicit formula.
As a result I feel no obligation to thank my boss, because my boss doesn't affect my bonus at all.
However in the more normal situation where bonuses are tied to performance or your boss distributes them, it is absolutely appropriate to thank your boss.
If appropriate is it necessary?
It's not necessary by any means. But people enjoy their actions being appreciated. Imagine if you bought someone lunch, you'd definitely prefer if they thank you, but generally won't hold things against someone for not doing so.