Does it make any sense to use a firmware with HTC Sense or is better to go for plain 2.3 firmware? I do have HTC Desire HD and I rooted it but I'm not sure how valuable is the HTC Sense package and if it makes "sense" (funny) to use a 2.2 firmware with HTC Sense or just to go for the plain Android 2.3 firmware.
This is pretty much just a matter of preference, to be honest. I don't think you'll really "lose" any functionality on a Desire by going to an AOSP based ROM, either 2.3 or otherwise. You should gain built-in USB and wifi tethering, though, since those are a standard part of Android 2.2+. The real deciding factor will just be if you prefer the Sense UI or another launcher (ADW, LauncherPro, Zeam, etc). You will lose any HTC widgets since they depend on Sense, but there are widgets in the Market which actually mimic the style and functionality of the HTC ones for just that reason. You also lose HTC's proprietary apps, since they generally use the Sense framework in various ways.

Threads pop up on XDA from time to time where people argue over whether Sense is better than other launchers but it almost inevitably just amounts to each group saying "I think X better than Y because I like the way it looks".