They are indeed a vanity component. With older looseball headsets, buying a better quality one worked better. I know this because I had one die after riding in nasty WI winter weather. It was upgraded to a $25 shimano STX and functionality was restored.

Beyond a decent $20 or so piece, however, there is no reason. I have a Chris King on my cross bike, but just because I got it on the cheap. It sure is nice and smooth, and has held up to endless thrashing and inclement weather.

More or less, they are gold cuff-links for your bike!
Cheers,