Website loads much faster when all CSS and JS is in a single file. Especially if you have many plugins each of which brings its own JS and CSS.
PLEASE KEEP IN MIND that by default this plugin is disabled if you are logged in. So you won't see affect until you log off from admin. If you like, you can turin it ON for admin too.
If you change some of CSS files, use standard "Clear cache" function in System section to clear the cache of this plugin.