Naa, it's not important to install it, I'm running without one too, and no problem so far. If you can feel the air pushing out it only means you have positive pressure inside your case which is a good thing. It will prevent dust from entering your case.
Remember to use filters on your intake fans...
someone had a mouse crawl up into his case once, it got fried of course, lol.
probably can't fit in a I/O though, but i've found like files, spilders and stuff.. and i have filter in front which and my i/o is unclovered, so they probably got in by there. nothing to worry about though, just don't be suprised when u find cobwebs in ur case, heh
What happened with the mouse is that somebody saw it running one day, and then they set traps and eventually caught it. Days later I opened the case to add a drive and found the mess. It had made a nest in the case with bits of things, hears, bits of peanut shells.. no bad smell. Some marks left from dried fluids... Not very pleasant to have to clean it up. The case had some IO slots open, and obviously was a warm place for the winter. It happened that the unit was old and went out the door a while later. It was a PS/2 Model 80, 386/20MHz with 340MB SCSI drives !
Now you are probably wondering how old I must be!!!