UTMs are tags added to links you share — utm_source, utm_medium, utm_campaign — that tell your analytics where each visit came from. Without them, most of your traffic files under 'direct' and every channel claims credit for every sale.
You need them the moment you use more than one channel: they're free, take seconds per link with a builder, and turn attribution arguments into lookups.
The whole game is consistency — 'Facebook', 'facebook', and 'FB' become three different sources forever. Adopt one written convention (ours is a free one-pager) and never deviate.