You don't have to lock, or even shut, the windows and doors of your home, but if you do, it will be more secure, no doubt. Now locking everything up doesn't mean it's impossible for somebody to break in, but it does plug obvious security holes to prevent the most basic of intrusions from happening (like from animals, birds, etc.).
Likewise, when you run your computer as the Administrator or root user, you are exposing your machine to many security holes that would easily be avoided if you simply ran it as a user with less privileges.