It's pretty important, especially if you want to have ultimate control over your image in -camera. The stock lens shade isn't as effective at keeping extraneous light away from the lens, and a matte box with flags can do wonders in that respect. Plus, with the filter trays, you can add everything from polarizers (a must) to ND to color treatments. Opens up a whole, new world of image control.
I would say that it is a must-have IF you are shooting outside. Indoors, not that big a deal most of the time. I'm assuming that your narrative films will sometimes take place outdoors during the day, and that's when you need the matte box the most.
A mattebox is a good tool (I just got my first one for my XH-A1) for shooting narratives...it does allow for a lot of control over the image in-camera with filters and such. I wouldn't classify it as a "must have", but it really is a nice addition.
I would say it is important, but I think its too expensive, well most are. It does give your video better images, but then again I make all that magic on post. I like to keep it clean but one thing for colors is GELS on your lights, well great question.
I find it useful..especially if you should be in real bright climate areas where just having the mattebox with its flags is easier to work with. Rather than having to use full flags on a tripods all around to keep the sun from reflecting onto your lens. Redrock micro just recently came out with there mattebox at a pretty reasonable price.
For narrative shooting where you really are trying for the best possible image, a matte box lets you control light a lot more than a lens hood. I, like many of the posters here, usually only bother with matte boxes for exteriors. I usually skip it for interiors as I can control the light and flares and I don't typically use filtration for interiors.