it's on the clean side so if it's missing you are ingesting unfiltered air which, depending on conditions, can destroy an engine in relatively short time.
I, and others, have plugged them off with no ill-effect......as far as why it's there? ....there are lots of parts that aren't strictly necessary for a variety of reasons; the little pce above the snorkle, the snorkle, itself, the inner fender, the chain "guard".....and some of us really crazy KLR owners remove the clutch and sidestand safety switches, vacuum petcock, etc. etc. ;-)
My 2nd KLR is bike #41 for me and the vast majority of my bikes haven't had any of the aforementioned bits, including the airbox drain.
all that said, there is no problem replacing the tube and catch container....make sure you also get the plug in the bottom