The simple answer is that if you don't back things up then you are risking data loss or having to run EVSVR to fix inconsistencies between the database tables and files. Other side effects include large log files for SQL databases
1. System databases (Directory database in particular)
Contains all the information about the EV site settings, configuration, security (permissions) and so on. Losing this could mean reverting back to a state where you cannot easily recover the system
2. Fingerprint database
Stores item finger prints for OSIS and includes counts for the number of instances. If you revert the table back then item counts will be incorrect and expiry could delete saveset files that are actually still being used/shared
3. Vault store database
Holds all the references for all the savesets on disk including collections and migrated collections. This can be repaired if the data still exists on disk but it will take a long time and users will not be able to access all archived content until the repair is complete
4. Vault store (this one is probably obvious)
The data files, so yep, this should be obvious! EVSVR can report on missing files, but if the data files disappear then the only data you would be left with would be the indexes, which may not contain the full data set
5. Indexes
Indexes can be repaired so this isn't as critical, but if you lose an index and only partially restore it then the rebuild time can be lengthy, especially if data has been collected and then migrated to tape over time
Backing up without using backup mode is definitely not recommended as items will be out of synch. You may simply have pending items kicking around for longer than expected, but you could also lose things like mailbox enable states, archives created during the backup window and other changes to configuration data
