[eschwartz]

If you are currently buying EPUB and converting to MOBI, then you should definitely convert to AZW3 instead. (There is no reason to specifically convert to the inferior format.)

I don't see any particularly dire need to convert from MOBI originals into AZW3, and in general I like to say "the fewer conversions, the better".
There is certain information that MOBI is simply not sophisticated enough to know about -- that is already gone from the vendor's original conversion to MOBI, if it existed in the original sources. Converting to AZW3 won't regain, say, SVG images, or put all the styles back in stylesheets (something which only matters for the sake of further editing).

As darryl said, if your reading experience is not currently suffering from reading MOBI, then there is no need to convert all your MOBIs to AZW3 just for the sake of doing so.