They are not "important" at all.....but extreamely useful.
You can proceed through main missions without them, you can do arkfalls without them, and I'm not certain but pretty sure they effect episodic mission the same as main once begun.
They provide experience (as in moving your EGO bar) and experience (as in figuring out where places and stuff is). They provide script as well as other loot you might encounter along the way. Many of them are tied to pursuits for the region as well as some of the places you'd discover doing them. They are also usually where you find recorders for that pursuit too.
Once you do them they are over but finishing a batch coupled with advancing the main mission makes more available (see above paragrah) and there are some that are sequential (like the Tranquility set and Murder in Madera) that tell a little side story......not neccessary but flavor textual. Many are more difficult than the main missions........