Sump holds all your equipment such as heaters, thermometers, even your protein skimmer. The sump also adds extra water volume to your setup making it easier to maintain. And finally its a place to do water changes and any dosing of chemicals so they arent dumped into your main tank
The protein skimmer itself skims the water of a nasty stuff.
IMO I would do both, but your system can be run with just one or niether. I just bought my first skimmer last week and Im in the process of building my first sump as we speak.