Sanding Sealers aren't always essential, but they will always give you a better final result to your finish EXCEPT when using oils; they shouldn't be used with oils because they want to penetrate and the sealer will prevent this.
The purpose of a sealer is to fill the open pores of the wood, thus needing less of the top coat (which not only saves money but will give a more resilient finish) and to bind together any loose fibrous material that is inevitably on the surface of the timber (however smooth it may feel!) whilst at the same time evening out any minor irregularities to give a better foundation for whatever finish you intend to put over the top.
Sealers have a 'sanding agent' in them which helps seal the surface and also acts as a lubricant to make the sanding process easier.