how important is the pre-emphasis stage in MFCC?
Pre-emphasis is a way of compensating for the rapid decaying spectrum of speech. The experiment is worth trying on real data - you will find that the DCT basis is better at extracting a set of decorrelated coefficients when the spectrum has been whitened by the pre-emphasis filter.

This justification does not really apply in the case of music where the spectrum is more slowly decaying - it is not uncommon in MIR papers to see MFCC computed without the pre-emphasis filter. In the case of music, an argument for pre-emphasis is that it provides a very crude approximation of the outer ear filtering. Some feature extraction modules are indeed using MFCC-like features with a proper outer ear filter (response given by Terhard's formula) in place of pre-emphasis - For example, it looks like this is what is used by the Echo Nest analyzer.