It's not a must have (perse)
It's simply how the Suite - as a whole - works together. That is the key point of Office, which is of course also combined with certain software components which manage to stand out to some extend (meaning: even critics of said software will agree that it's pretty usable nonetheless).
But for me (small business use with sometimes big demands) the key points to Office are Visual Basic for Applications ("VBA") which allows to me to program or script specific changes or additions to the environment, the Office API which provides access within VBA to several of the specific Office functions (exporting an opened Word to PDF format and then creating a new e-mail message in Outlook with the previously mentioned PDF file attached? No problem) and finally the Windows assemblies: also known as COM; the Component Object Model.
(very) Easily put: COM makes sure that software programs can register themselves with the operating system (Windows) while providing (if applicable) an API (programming interface) to allow external programs to access their functionality. This is the reason why you could easily access the Apple Quicktime player right from within Word (if both are installed of course). And this model goes extremely deep. From natively installed faxing services to Java webstart right down to VLC (video / media player) and / or Zune.
That model alone allows for some extreme functionality of its own; want to access the Windows clipboard from within a VBA program? No problem... Most importantly to note: all of this is possible out of the box, so without the need for an external programming environment such as Visual Studio.
I think it's this speciality which makes Office so extremely appealing to so many people. It's not merely your average Word processor or Excel spreadsheet; it can also provide a complete development platform of its own where the basic Office-based functionality is obviously provided out of the box.
Personally I think it's this reason (apart from the obvious issue of the original company being Sun) why suites such as OpenOffice and later LibreOffice provide very deep ties into Java, also allowing people to utilize it to write extensions for the entire Suite. It's also a model which surpasses the "simple" macro editor and instead opts for a full blown programming environment. The major issue here though is the interoperability. I haven't tried the latest LibreOffice so my knowledge on this matter is dated, but last I checked on OpenOffice I noticed that the people behind these projects are also making some rapid improvements on these parts, it's most certainly a development to keep an eye out for.
Still, personally I think the free Office suites have some way to go before they can match the interoperability provided by Microsoft Office. But as said: they are coming very close already.
Side note: And when the free suites break this barrier then I think Microsoft will start to get serious problems, because then people are directly eating away at one of their main pillars. And they can do it all for free...