Prim95 is a distributed computing project with a stress test built-in.
If your CPU is overclocked, or in a highly thermally constrained environment, it can be useful to stress test it to either test the stability of the overclock, or to ensure that the CPU won't thermally throttle under the loads that you're planning to apply to it.
Assuming that you haven't disabled your motherboard's thermal protections, the worst thing that prime95 could do is cause the CPU to thermally throttle, and/or reveal an unstable overclock, either by crashing itself, or crashing windows.
If you're not testing an overclock or building a in a really SFF case, you probably don't need to bother running it.