The moisture will combine with the refrigerant to form hydrochloric acid. Not good for metal.
They recommend that you change it every 3 years or every time the system is emptied and regassed.
This seems a bit excessive. I have never bothered personally but just in case you want to, here's the info.
Before you change the drier, you will have to degas the system.
Here is the AC radiator, it sits behind the coolant radiator at the front of the car.
The tube seen on left is the housing for the drier insert.
If you lift the front of the car up and lower the undertray, you can access the port.
Press the cap in, this clears the clip. (If you can't press it in, it's because you didn't degas the AC system).
Place a bolt into the end. This will be used to pull the cap out. (Size varies between M5 and M6).
To open it, you'll need circlip pliers.
Put the tangs of the pliers into the holes of the clip and squeeze.
This compresses the clip so it can be removed.
Hold the inserted bolt and pull the cap out.
You'll need to get some long nose pliers into the housing and pull the insert out. This usually isn't easy.
You can replace it with a new one or you can try to cheat.
I'm certain that putting it on a radiator or in the oven will drive the trapped water out of the desiccant.