You definitely don't need both AVG and MSE - they are both anti-virus software and if they are both running at the same time can cause conflict errors. Malwarebytes, however, won't cause a conflict and a regular manual scan using it is a good idea.
Running two anti-virus programs simultaneously can harm your computer but, as frequent posts here show, malware can get past Norton, MSE, AVG, Avast, McAfee or anything else - so it makes sense to have the free version of Malwarebytes to hand.
As VHG says, BUT
You don't need it to run all the time
It's a good idea to have it installed because, if you try to install it AFTER you've contracted malware, you may have to go through enormous hassle to install it as the majority of malware programs do their best to prevent the installation, and it's not possible to install in safe mode (at least on XP) because it uses the Windows Installer Service which is disabled in safe mode.