With the default option turned on, MC makes sidecar.xml files next to the source file (hence the term sidecar). This happens whenever a file is manually tagged. This includes you tagging the file by hand, or by a Tag On Import rule. Carnac auto-parsing does not trigger it (because this can be re-done on the next import the same way, so it is not needed).
So, you won't see the sidecar files generated for newly imported files, unless you've added a tag that doesn't get grabbed "automatically".
These files are NOT used by MC for day-to-day operation (all metadata is stored in the Library). These are the video file equivalent of ID3 tags, and they allow you to take a file and move it to another computer with a separate copy of MC and it will retain its metadata (assuming you copy the sidecar file over too). They also allow you to exchange metadata with other external applications.
You do NOT need them. If you delete them, the current copy of MC will be unaffected. If you want to turn generation of these files off (if you never need to move files to other computers and retain the metadata), then you can disable their generation under Options > General > Importing & Tagging > Store tags in external sidecar files.