If you're trying to reach a particular final gravity, and you don't mash out, the enzymes will continue their work until they are denatured during the sparging process. This can result in a thinner than expected brew. That can matter, depending on the style. In general it doesn't.
That said, in my experience mashing out helps is that it raises the temp of the sugar coated grain before washing it off, making the sugars less sticky and more easily removed. This raises my efficiency. Or at least that's what I think based upon my experience. I've posted this before and had others tell me it's my imagination.
Being that you're just starting out on your AG journey, I wouldn't worry about it at this time.
Best way to see for yourself is to make two otherwise identical batches, except that you do the mash out step with one and skip it with the other.
Then compare gravity readings and efficiency. I bet you'll get a better yield off the one where you mashed out.