I haven't used one of those before, but I have done something similar when I installed a few forks by using a long bolt, a nut, and some washers. I did it to compress the headset on forks I wasn't ready to cut the steerers for, and so I didn't waste the fangled nut until I was ready to cut it down.
The star-fangled nut is a "set it and forget it" piece that does nothing but pull your screw down when you are adjusting the play out of your headset. Once you tighten up the stem, you don't really need it anymore except to hold your top cap on, which does nothing except make your bike look more clean.
I say that Azonic thing is a waste of money. Besides the cost, I can see a few minor disadvantages as well, such as it getting loose then rattling, or worse, falling into your tire and jamming into your shock's brake arch. Also, if you run one of these, you can't use the fenders that stick into the bottom of your steerer tube.