How important is a center differential on a 4WD model?
Well, the center diff allows the front and rear axles to turn at different speeds, which is useful to put less stress on drivetrain parts that are constantly moving around. However, for a Lego model it is probably not required, since it most likely would not move at speeds required to necessitate one. Building one in would add realism, but you would need to keep in mind that with a center diff, the torque all tends to go to the axle with the least traction.

EDIT: Why the front and rear axles sometimes move different speeds, why it matters

Imagine a four-wheel-drive vehicle, with a center diff, moving at a decent speed. It encounters a bump in the shape of a half-sphere, approximately 2 inches across, on the right side. The right front wheel will encounter the bump first. As the vehicle drives two inches over the bump, the rear wheels both travel two inches. However, the right front wheel, following the shape of the bump, travels pi x 1 (the radius of the bump) inches, or approximately 3.1 in. Since the right front wheel covered a farther distance than the rear wheels during the same period of time, it went faster than they did. This translates to a slight difference in speed between the front driveshaft and the rear one, which is easily handled by the center diff. However, the same scenario applied to a vehicle with no center diff could bend or break the driveshaft, as the rear section and front section try to go at different speeds. At LEGO scale, however, this difference could probably be absorbed by the flexibility of LEGO parts without incurring any damage.