On a turbo car when you lift off the accelerator pedal the turbo will keep spinning and forcing air against the closed throttle.
Without a blow off valve ("Dump valve") the air will build up against the closed throttle and cause the turbo to stall.
This makes strange noises and cause damage to the turbo.
The vast majority of turbo petrol cars have a blow off or dump valve, which opens when the throttle is closed, this allows the compressed air to be recirculated back into the inlet before the turbo.
Atmospheric valves dump this compressed air back int to the atmosphere, usually with a whoosh noise similar to a double decker bus releasing its air brakes.
Personally I would keep the standard recirculating valve unless your original valve is broken or you would like the whoosh noise.
I don't think there is any performance gain to be had by replacing the valve, although some do claim to reduce turbo lag a bit after you have changed gear etc..