op amp+mosfet = current source.Why do we need a feedback resistor?
R2 (10k R4 in my diagram) is there to form together with C1 (1nF capacitor) a Miller Integrator to prevent unwanted oscillation. 
And yes, this circuit will sometimes oscillate, mainly due to poor PCB/breadboard design. 
And here you have a real world example (the breadboard one).

Without the Miller capacitance:


And after I add the Miller capacitance into the circuit:


http://www.ecircuitcenter.com/Circuits_Audio_Amp/Miller_Integrator/Miller_Integrator.htm

EDIT

Today I test this circuit again. And the result are: 
For RG = 0 Ohms; RF = 10k Ohms without Miller capacitance circuit oscillate (I_load from 1mA to 1A).



But surprise surprise If I short RF (10K) resistor the oscillations magically disappear (even if RG = 1K ohms). 



So, it seems that the main cause of a oscillation in my circuit was a feedback resistor. 
I suspect that RF together with opamp input capacitance and some parasitic capacitance add a pole (lag) to the circuit and the circuit start to oscillate.
I even change the opamp to "much faster one" (TL071).And results was almost the same except the fact that he frequency of oscillations was much higher (713kHz).