Originally Posted by robo
You don't need it if the limit screws are set right on your rear derailer.
Above is theoretically correct.
However, I've dropped a chain into the spokes a couple of times in the past 7+ years while mountain biking. It was probably due to a combination of shifting + climbing + rough terrain. Luckily, I was going slow, felt the chain slip and let-up on the pedals before any major damage.