Understand that the Klein-Gordon equation encodes the propagation of waves for massive fields in the absence of non-gravitational interactions with the field. If you can physically realize those assumptions (and GR) and you can physically realize a massive (including special case m=0) field. Thus: "Yes."
Failure to satisfy K-G is failure to conserve local momentum-energy. That's not impossible, the system can be "bleeding" momentum-energy into or out of some other field via interaction but one must assume it may also not do so.