If it's a minimal cache, though, you might as well.
This is probably the single main concern I have about this -- I've spent chunks of time away from home where I find an internet cafe, sync up email (send and collect new email), and go -- then take the time to read and write email later (while offline). This method would be pretty broken if long conversations were missing most of their history.
If the vast majority of my email is actually unavailable when I'm offline (or experience connection problems, etc.) that at last partly defeats the purpose of having a native email client at all.