I understand its purpose but I didn't need anything like that in XP and I don't really need it now. Anyone other than the most basic of users should be able to run Vista without getting viruses etc. Perhaps if it was more selective then I would keep it enabled but it comes up far too often.
Having said that, maybe once my system it fully set up, I may enable it again and see how things go as you're right, I will hopefully see it less frequently.