My initial response was "every party has a pooper, that's why we invited you," but then observed that this was actually a very good question. Why bother?
I explained that while it is a great tool to explain how a manager outperformed their benchmark, it can be even more beneficial to explain why they underperformed. No one wants to be told "I don't know," or to be given a vague excuse. If the manager can delineate the basis behind under-performance, it clearly and loudly communicates that the manager has their finger on the pulse; that they understand a great deal about their process and the market.
We have spoken with several individuals who have testified to the benefits such reporting has, and how it has helped them retain clients that they may have lost had they not had such information at their disposal.
And so, it does matter ... a lot!