It's always better to have a copy even though it doesnt serve much purpose when you dont need EI. The fact your former employer didnt send you a copy doesnt necessarily mean they didnt file it to Service Canada. By law they are required to file it and it doesnt cost them anything with no negative impact neither. You can call Service Canada to see it has been filed, and if not they will contact your former employer and take care of it. If the company has HR department you can also contact them directly. In addition, it has all gone digital now I believe, you might be able to have your own established online file (not 100 per cent certain though).
You might need it as a proof in the future to explain how you left that emplyment , ie, you were laid off or you resigned.