Abrasive belt grinders are necessary when you want to grind down and polish metal. The machinery is similar to that of a belt sander, with a major difference being that a sander is meant for use on wood while a grinder is meant for use on metal. One other big difference is that belt grinders can be wet or dry, meaning you can have a stream of water flowing over the belt and the object you're grinding. This water can be very helpful, but there may be times when you want to grind metal using a dry method.
When Wet Grinding Is Better
Grinding or sanding anything creates dust, and breathing in that dust is harmful -- not to mention the dust makes things messy. Water eliminates that dust; you still have debris, but it isn't flowing into the air that you later breathe in. Metal isn't the only material that benefits from wet grinding; if you've ever seen a gemologist at work, you'll see they use a wet-grinding style system as well.
Wet grinding also controls overheating. The friction created by the belt grinder and metal also creates heat, and with metal, that can lead to overheating and burn risks. Some materials can also spontaneously combust if they get too hot. Using wet grinding helps control the temperature and keep things cool.
When Dry Grinding Might Be Preferred
Of course, with wet grinding, you have a disposal issue to deal with as the water may now contain contaminants that you can't send into the storm drain or sewer, similar to how you wouldn't pour paint down your sink drain. And, if you're in a region experiencing drought, you may not want to use water if it's not necessary.
Both Require Eye Safety and Other Safety Gear
Note that despite the dust control of wet grinding and the water control of dry grinding, you still need to use safety gear whenever you use the belt grinder. You do not want debris, wet or not, suddenly flying up into your eyes. (And no, your eyeglasses are not enough.) Wear gloves as needed, and never, ever, forget your respirator, especially when using a dry belt grinder.
The type of metal you are grinding, the status of water use in your area, and your need for keeping materials cool all influence whether you should get a wet or dry belt grinder. Note that some models offer both options, and you may want to see if one of those will fit your needs.