Finger inserts are good if you need additional lift on the ball, for more revs, or if you cannot bend the finger joint so well, so that you need additional area to cling to. They are comfortable, though, and offer additional grip. But if you are used to play without and you are satisfied, IMHO you won't need them.

For a thumb insert, the selling point is a consistent feel between different balls and their insides made up of core, filler and coverstock. They are not a must, too.
When you have dry hands and "suffer" from clinging to the ball, a slick vinyl thumb insert could help you with a cleaner release. Urethane is much harder and offers IMHO more grip, even though it can easily be smoothed out.
Besides, you can still live without a thumb insert and experiemnt with various tapes (rough/slick surfaces).
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DizzyFugu - Reporting from Germany

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