If you're misting or spraying the substrate, eventually enough of it will fall down between the particles of the drainage layer. It can also end up there if the geckos dig around. Allowing the substrate to fall down there means it will absorb any standing water, causing it become waterlogged, and start stinking to high heaven. It also becomes a great breeding ground for bacteria and other pathogens.
Depending on what you're using for drainage, it could be a potential choking or impaction hazard. If nothing else, it doesn't necessarily look good.
The mesh barrier will help keep the substrate out of the drainage layer. It might not be perfect, but at least it can keep it separated for years, instead of the weeks it could take without a barrier.
I use fibre-glass window screen for my barriers, though some people use plastic needlepoint canvas, or other non-degrading mesh.