Its to prevent mud, and other crap getting in the engine and scoring the piston and liner and wrecking it, alot of people i know have put 2 fuel filters on so they get more run time and when car flips the fuel stays in one and holds more fuel, they get two filters an take the mesh out of one and leave the other with mesh in.

by doing this there will be alot of fuel in the "no" mesh one, so when it tips it holds more fuel and longer fuel lines also helps with filters.

Edit; Even though you tank has a built in one that still no way as good as an external fuel filter, dirt gets in by when your racing you pit guy, or yourself lifts the fuel cap an there will be dirt on the car etc that will fall into the tank, also by doing very tight bends in fuel line is a big no no, as it can split causing dirt etc entering the fuel line, but if you have an extrernal filter it will be stopped by the mesh[8D]