As far as I'm aware, it allows you to bunch together devices and apply a set of rules to them such as scheduled access times, website restrictions and more.
It also makes it easier to find the devices in the EE App if you need to in future as you can manually put them into groups based on the room they're in for example.
https://ee.co.uk/help/broadband/getting-started/using-parental-controls
Choosing not to use the feature will not have any negative effects, apart from being asked to set them up when you go into the EE App as you've found.
