When in contact with direct heat, sugar tends to caramelise. Some mashes may burn down, or organic oils may even burn. To prevent unpleasant tastes from such events, place Copper Sieve Trays into the Pot. Only liquids will flow through the Tray, but solid fruit or grain parts will be prevented from direct heat.
On the other hand, if you distill liquids only, e.g. water or wine, the Copper Sieve Tray is unnecessary.
Copper Sieve Trays are the cheapest solutions to protect your mash from burning down.