There are pros and cons. Newer firmware usually brings with it support for new types of media, improves burn quality or fixes some bugs. It is usually good to update the firmware if you can but if you aren't experiencing problems with the writer and don't like frequently upgrading things in general, it is ok to just not run the auto updater.
In the past the auto updater tends to bring in new versions of firmware which LG has not released on their service websites yet. So for the sort of person who always has to have his system up to date in every way, using it is probably a good thing.
However, the auto update program had lots of bugs itself in the past. It wouldn't run on systems with Windows XP SP2 (it just crashed with a cryptic error) and didn't work correctly on systems running Windows 2K SP4 (could not find any updates at all for any drive, ever). So I would generally dissuade people from using it. LG has just released a new version of the auto update program though, so that may have fixed these problems.