In radiation therapy, a plan is robust if the calculated and the delivered dose are in agreement, even in the case of different uncertainties. The current practice is to use safety margins, expanding the clinical target volume sufficiently enough to account for treatment uncertainties. This, however, might not be ideal for proton therapy and in particular when using intensity modulated proton therapy (IMPT) plans as degradation in the dose conformity could also be found in the middle of the target resulting from misalignments of highly in-field dose gradients. Single field uniform dose (SFUD) and IMPT plans have been calculated for different anatomical sites and the need for margins has been assessed by analyzing plan robustness to set-up and range uncertainties. We found that the use of safety margins is a good way to improve plan robustness for SFUD and IMPT plans with low in-field dose gradients but not necessarily for highly modulated IMPT plans for which only a marginal improvement in plan robustness could be detected through the definition of a planning target volume.