@MingleDynasty24
Rubrics certainly can have a roll on Canvas quizzes and on paper exams as well.
For quizzes, grades are automatically populated by the score on the quiz. However, you can still complete a rubric for the quiz. One use is for outcomes tracking. Rubrics can incorporate outcomes, so if your quiz is assessing one of the outcomes, it makes absolute sense to track it right there in the quiz.
For paper exams, I use a rubric with a criteria for each question. I go through and rate each question as Awesome, Good, Okay, Fair, Poor, or None. Those are the only six possibilities for each question. The ratings are based on did they get the right answer with sufficient work (I teach math), the right answer without enough work, ..., down to you're nowhere close or you left the problem blank.
From the student's perspective, they can look at the rubric before the exam and know that question (for example) #3 is worth 40% of the test so they better focus on that while #10 is only worth 5% so they don't need to stress as much over that.
When I grade the tests, I use the rubric for scoring. Once entered, students can see how they did on each question rather than just an overall score of say 87.62%.
We also collect outcomes from test questions (we're in the process of switching over to using rubrics) to report. By having a rubric for each I want to record, I can give the tests back to the students but still have a record of the results I need for the outcomes process. I don't have to make copies of every student's quiz or write down the scores to questions 5, 6, 10, and 11. It's already recorded in the rubric.
In another case, I use a quiz to generate a rubric that is then attached to another assessment. I allow students to design their own research project given some constraints. They enter their choices into a Canvas quiz and then I read the answers, check to see if there will be problems, and complete a rubric on another assignment to give them feedback. I do that in two assignments because I want them to get credit for completing the quiz (so I use a graded survey), but I don't want them to get the go-ahead until the data is going to work, so I make the second assignment complete/incomplete.
You absolutely do not have to make a rubric for the exam (unless required by some school policy), but they can be reasons for using them. Others have more in-depth use cases than I do and some want the ability to attach a rubric to an individual question rather than to the whole quiz. Rubric usage varies a lot, which is part of why it's hard to find a solution that works for everyone.
Based on what your instructor wrote, it sounds like a "Do I have to make a rubric for the exam?" question. No, but in that instructor's mind, they might be asking if they need to go through and put thought into each question and decide how much each question is worth ahead of time. In that case, the answer is yes and a rubric -- or a study guide -- could help. If it was a multi-section, multi-instructor course or a large course with lots of TA's doing the grading, then having a rubric of how to grade could be invaluable. That doesn't seem to be the case here, but just more reasons why someone would want to have a rubric.
If the questions were essay rather than multiple-choice, then a grading rubric is a great idea.