It's entirely optional but recommended. The main benefit is that you don't need to import the header in every file using Sprite Kit classes.
A nice side effect is faster compilation, but since Sprite Kit is a framework, most SK apps don't exceed 100,000 lines of code and Xcode's module system (sort of a cache for frameworks) it will hardly make a noticeable difference in terms of compilation time. It has absolutely no effect on runtime performance or app size.
In other words there is nothing to lose but very little gain, so do it because it's just one line of code.