Ubuntu nags you to do it so it can run 3rd party drivers. It's never really explained what the drivers were and I haven't noticed any difference with it disabled or not
Fedora and RHEL won't load any unsigned kernel module (yes, found out the hard way: I was wondering why VirtualBox doesn't run, even if it successfully builds it's own modules). However, you can enroll a MOK (Machine Owner Key) and sign whatever you want.
I was under impression, that Ubuntu does not enforce signing kernel modules even with Secure Boot on.
