Lighting is important for many reasons as already discussed. Depth is the most important since we're working with three-dimensional environments.
Without any lighting or simply the same shading value throughout, a room/location will look monotonous.
The bare minimum is to shade walls of one plane a different value to another. We can now clearly see the columns in this room at a glance, where they start and end. This is important for navigation.
Taking this one step further by adding a light source and adjusting sector visibility accordingly offers a lot for the scene. Atmosphere.
Lights used this way in darker environments can potentially grab a player's attention or point them in a direction. Depending on the methods, lighting will enhance your levels gameplay and immersion.
The previous lighting effort already did a lot for this room so in theory I wouldn't need to go overboard with decoration.
Throw in a few sprites, slope a ceiling, lower a segment of the room and break up the floor texture creates a decent looking room to work with. The lighting alone helps to achieve this.
Lets reset all shading and visibility values back to their defaults in the exact same room. How important is lighting? I think the screenshots above and below provide plenty of reasons.