Despite my suspicion of cosmological certainty, I do believe a good magus should have some kind of basic understanding of worlds beyond our own. Without building or borrowing your own cosmology you may run into difficulty with certain forms of spellcraft.
Necromancy comes to mind as a prime example. If you have some sound ideas on where the dead spend their time, you’re better equipped to contact them. Even if you come to the conclusion that the dead are just kind of hanging around, that in itself is a kind of cosmology.
But building a worlds structure willy-nilly may cause some inconsistencies that could end up being a barrier when you need to add on some new practice. It begs to question why entities of widely varying degrees of power and temperament would all be swirling around some meta-otherworld together. We divide ourselves up by countries and states, cities and neighborhoods. It may be helpful to know an entities address before you go looking for it.
It also makes one of the easier forms of magick, astral travel, much less useful. Much can be learned by travelling to these alternate worlds and speaking with the entities there. My wiccan friend goes as far as saying that it’s the only good way to learn magick. While some may argue that astral travel is nothing more than advanced daydreaming, a good magus knows that the difference between musing and moving is gnosis. If you build a good head of altered consciousness, then the rational mind can relinquish control, and you can truly go somewhere new, unfettered by the guidance of your conscious mind and enter into the uncharted realms of the unconscious.