Whether you use a surge protector is entirely up to you. They say "wall outlet" out of habit (I do to when I give troubleshooting instructions), and to keep people from removing the plug from the back of the modem itself. I have my modem, as well as my computer, running through a surge protector, and I've done this since first getting HughesNet in 2004.
The only thing is, it's possible for a surge protector to cause issues with proper power throughput, though I've only seen once instance of this in the community, and it's possible that their surge protector itself was buggy.
So, if you have a surge protector and want to use it, you can.