To me it's just quality in engineering. If you are going to spend the time to design a circuit for a specific function, make sure all aspects are covered. The protection in the battery may not always work. Someone may put an unprotected battery in it.
I know there are functionality issues as well. You don't want to lose power when you don't need to and you want the battery to last as long as possible. For the kind of current and voltage you want large capacitors and inductors will be required to sustain the current across the load without damaging the battery. Since the load is inductive one should use a zener to prolong the life of the coil.
I don't know if anyone here has experience with relay based control systems but coils are coils and current stored in the coil causes bad things to happen if it is not dissipated properly.
You also have to make sure that the battery's internal resistance is such that it can supply enough current for the circuit, this should be an output specification of the battery. If you are going to boost the voltage and want to sustain voltage and current over the load the draw on the battery will definitely increase. These boost regulators pulse the output which lowers the current necessary... but your batteries will die faster.
All in all I just like to cover all the bases.
The capacitors are listed on the datasheet along with secondary optional capacitors (probably overkill since the load is just a heating coil). Having used the particular boost in question in many different versions of mods I can tell you that overdischarge has never been an issue and never would be using LiCo batteries.
If powering with LiMN, the batteries can actually push the boost even in an overdischarged state. In this case you have to add protection to either the circuit or the battery. The location does not make it any more or less reliable.
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