Hi We_Ezer,
Most hosting comes with a mail server, no need to pay for an additional one (except if your site is a high traffic site).
Some actions in Osclass require to send a message to the user, for example if they forgot their password, only way to retrieve it is that Osclass send to their email a link to change the password. Alerts and subscription also require emails to work. Listing validation (if enabled) is done via email also. And a few other notifications (new user, new ad, new comment on your listing,...)
Thanks