Same as all lead shot Buckshot compresses and deforms somewhat during firing, this in turn can cause your gun to produce less consistant patterns and a consistant pattern is crucial to ensuring enough pellet strikes to ensure a humane kill. Now at some point in time during the heyday of lead shot some bright fellows realized if they plated their shot in copper it would deform less and produce more consistant patterns.
Also and I've never tested it to confirm it supposedly penetrates better.
So if all you're using it for is making holes in stuff and making yourself feel warm and fuzzy inside you don't realy need it. If you're using it on game you may appreciate the slight edge you gain, but then again with buckshots short effective range (roughly 40 yards on deer IMHO), it might not be noticeable.