Basically, OnyX is a "wrapper" that puts a graphic interface on a lot of utilities that you COULD run yourself from the command line. But OnyX also adds in the best default settings for 99% of users, so that you don't have to learn those utilities and the arcane settings. I can't speak to why OnyX isn't offered through the MAS, but the fact that it's free from titanium.free.fr is great. The reason you cannot run it is simple, Gatekeeper is set to block ALL applications from any source other than the MAS, or from registered developers. To run OnyX, right click on it and select "Open" when prompted. One time is all you need to do that. OS X will then register that OnyX is acceptable and not ask you again.
"Do I really need it?" That's up to you. It does clean up the system nicely and safely if you leave the defaults as they come, you can avoid learning the utilities and the arcane settings and it works well. And it's free. For me, I "need" it in the sense that I run it every few months to tidy up.