I think people should always have safewords.
I think a safeword is a must in any kind of role-playing situation, because it frees the sub up to cry and howl OH GOD NO MORE without having the top misread it. I have had people tell me we don't need a "safeword" per se, but any pleas to stop will be taken at face value. I think that's no fun, because I frequently find myself sqealing NO like a little girl, when in fact I mean exactly the opposite.
I don't like the idea of playing with no safeword under any circumstances, including a punishment scene. Submission and trust are key elements of the dynamic for me, and taking away the safe word eliminates them. You are trusting your partner when you allow him/her to do something that you could (and would kind of like to) stop. If you have no power to stop what's being done, it's not really trust anymore - it's just living with the inevitable.
Of course, a safeword is not a get-out-of-punishment-free card. I think that during punishment a sub loses its right to use a safeword for mere comfort purposes, but if something goes wrong or a sub really feels that the punishment is no longer within the negotiated bounds of the relationship, then the safeword is OK regardless of what kind of scene it is.