The stop key has one simple function to perform - to stop air flow to the chanter reed. It is used when tuning the drones and often the regulators. We tune the tenor drone to the chanter A and G notes generally. We then stop the chanter and tune the baritone drone to the  tenor, then tune the bass to both tenor and baritone. When you don't have a stop key (and many pipers do not) you need to either choke the neck of the bag or temporarily remove the chanter from the bag and block the hole with your finger. It is not a necessity, but in my opinion, it's a pain not to have it. I've always had one since I was a kid so I'm probably spoiled. The chanter itself will work perfectly without it, but once you have one of these keys, you never want to be without one.