It's not actually that important, depending on what you want to use the image for (what your end project is). If you were working on a section of a larger print project, for example, you would keep the color profile (so that the section matches the rest of the image/book/whatever). Which means that the colors you see on-screen won't be 100% accurate to what goes to plate/print. For most things I usually convert or discard the embedded color profile, personally. I've never noticed a huge quality difference or color variation...
Reading through
these might answer your question more thoroughly, but essentially it is similar to monitor calibration, except you are talking about the orientation of the file, not the current monitor settings.