I have only changed a single windshield, in a Camaro. I was told to leave a thin layer of the rubber in place, but only if I replaced the windshield at the same time I removed the broken one, so no dirt/contaminates could get on it (it will be sticky).
So that's exactly what I did. All I can say is it didn't leak, and I could see there was no rust (FL car). Guess I was lucky for once.
I was told at another time the urethane was more for vehicles that had air bags. Something about the urethane keeping the glass from popping out when the bags deployed. Hadn't thought of that till just now and no idea if that's true or what.