You do if you want every single message to be emailed to you. You can also watch particular categories and see that you have changed your settings so that Discourse emails you messages that you have already read in your web browser.
It would be useful only if you wanted to use the web interface to generate the key and then go to your mail client and start a message. How is that more convenient than just sending a reply? (Maybe you want everything you write to exist in your mail client?)