Would you drive your car without a speedometer? If you exercise at to high of an intensity level your body will be burning more sugar instead of fat. A heart rate monitor displays your current heart rate. The monitors built into treadmills are not accurate. They can pick up the signal from a person exercising with a heart rate monitor standing to your right. You say you don't believe it? Try this simple test.
The problem is most health club personal trainers don't know how to setup a heart rate monitor to effectively train.

If you are training for an upcoming race you need to learn to monitor your heart rate to maximize your training