The jockey wheel, is rightly so called, because it rides on the "back" of the belt, that is to say, the opposite to the ribbed or toothed side of the belt.
It is adjustable on its bracket in order to set the belt to the correct running tension, ie not too slack to cause slipping (screeching) for example on an alternator belt , ( my xedos V6 has a jockey on the alt` belt as well as the cambelt ) and not too tight to "run" the bearings on itself, and the other pulleys it serves.
I would say changeing the jockey is probably a good idea, but not absolutely vital.
At the worst poss scenario if you don`t change it, and its bearing is worn, it could seize, strip the cambelt, and hey your on Shanks`s pony for a while, but using the same argument you could make a case for replacing the bearings on all the pulleys it runs ie both camshaft bearings, but that is well over the top.
If you want to save some dosh and there is no perceiveable play on the wheel and its bearing is nice and quiet, leave it on, these little bearings can run on forever.
Hope that helps.
