The BIOS or EFI on the motherboard already has some basic microcode update for the CPU, put into play every time the computer starts up.
Now, the OS may have an updated version of the microcode, typically available when there are known issues for a given CPU with a given OS. This allows the user to avoid some issues by disabling some features on the CPU, increasing stability (and occasionally increasing performance).
If the system is working fine, then the default microcode is fine and you don’t have to change anything.
You can tell Ubuntu to use the microcode package provided by Intel if you have issues in specific applications & find that the application is attempting to use a function of the CPU that’s known to have a bug; maybe the microcode package will include updated microcode which knows to disable the bugged feature or implement a workaround.