Catch can will prevent your breather potentially spraying oil mist over the inside of your engine. Plumbed into the intake could will also coat your hoses and intercooler with a fine oil mist which would reduce its efficiency.
If you're racing use a catch can as it will give you a good indication of the pressures in the crankcase or potential problems. It doesn't have to be an expensive one, I know someone who used a red bull can.