It prevents something from twisting the bars and causing a tank slapper. Two examples are when you hit something in the road or when you have the front end off the ground in a power wheelie and the bike comes down with the front wheel slightly off center. The bike has an OEM steering damper, its located in front of the lower triple clamp inside the fairing. The GP4 is a race version of the steering damper. You can adjust the resistance to turning the bars so it is very stiff (LSR, maybe drag racing) or very little resistance for daily street riding.
Sounds a little overly complicated but these things have a huge impact on how the bike feels. Do you need something like the GP4? Probably not unless you spend a lot of time going very fast. There are other options like the Ohlins damper which attaches to the bike in the same location as the stock unit. The advantage of the GP4 is the ease of adjustment. In any event, if your damper is 8-10 years old a replacement (even an OEM one) is not a bad idea. The steering damper is an important part of the safety equipment on your bike and it's status should be monitored.