For more complete filtration with a grater variety of orgs. A sump is just a glass box, and a sand is still sand - without bacteria they are not going to do anything. Live rock is a good source of a variety of bacteria (and don't be fooled into thinking that all the bacteria used in filtration are understood and id'ed correctly and can thus be bought in a bottle), plus the rock itself is an excellent medium for the mechanics of biofiltration.
Plus it looks good, and at scales larger than bacterial, the more diversity in our tanks, the better (generally)
It is not at all essential to have live rock, but it makes for much easier life than pre live rock