On flat skins, you can get away without doing it, but on rounded skins, it's a necessity IMO. When properly done, it ensures that the edge of the skin is going to lay flat after it is riveted. You can overcook it if you are not careful and the results are worse than if you didn't bend it.
I prefer to use a RV-4 canopy edge rolling tool. You can get one at any of the tool suppliers like Avery. I like it because it has a thick handle that is easy to grip and it has four big rollers instead of two small rollers on the "typical" rolling tool. With this tool, it is real easy to put just the slightest bend in the edge.