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Yes, it is worth having the data installed for your lenses and no it is not exactly the same as adding the data in DPP. There is no guess work involved when you have the camera add the data automatically as you take photos. There is also no speed penalty, so there really is no downside. The advantage to having it enabled even if you use Lightroom or other program as your raw converter is a more accurate histogram. That is to say, it can help you obtain a more ideal exposure by mitigating the effects of vignetting. The final reason is that the latest camera bodies can do raw conversion in-camera, and with the lens data installed they can correct for distortion during in-camera raw conversion.