Many router lifts include a router table insert plate (the gray rectanglularrectangular flat piece) with insert rings, but some do not. You can also buy router plates with or without the rings, or you can make your own. For this reason, I consider this part not so much a part of the router lift, but an accessory that you can add separately. That said, the mounting plates included with some of the more expensive router lifts do have additional features such as precision markings or easier adjustments.
I could be wrong but I would suspect that this feature is either included on most commercially-available lifts. This is good to have in order to guarantee that your router won't drift up or down with vibration and use, but it depends on what's more important to you and whether your specific lift has a tendency to travel out of adjustment with use. Is it more important to be able to change settings quickly, or to keep the same setting for a long time? Whether or not you use the height lock may also depend on the job. If you're producing mating parts with tight tolerances, you may want to lock the router height. But if you're just cutting an ogee or roundover as a cosmetic detail, and your lift more or less doesn't go out of adjustment on its own, you're probably fine.