It's worth doing so on older kobo readers in my experience because it turns pages faster, and it also correctly displays embedded ePub fonts that the native software doesn't. I don't know how many of you will ever read books that feature APL glyphs so I don't know how relevant that last bit is, and I can't speak for more recent models.

stock kobo has two epub readers. trash one from adobe used for drmed files and stock epubs, and an actually good one for use with KEPUB files. There's a calibre plugin to make the conversion upon push to the device.