I can only speak from my own experience on this one, but depending on the game, letting it complete means less stuttering the first time you see some shader effect in-game. My understanding is that it offsets processing that otherwise has to happen during runtime.

I've seen conflicting reports of how worth it that is, and I suppose it probably comes down to a lot of factors, in particular the game itself and the power of the hardware it's running on.

I tend to let it complete always, but for me that's generally less than a minute. Gives me time to get my gaming beverage ready, haha