The biggest justification I've heard for lining a cast iron forge pot is to avoid cracking, when using water to control a coal fire, since there's less likeliness of "shocking" the cast iron. This kind of makes sense to me, especially when you consider the thickness of many older cast iron firepots, which weren't always super thick.
In my coal forge, I've got a cast iron pot from kayne & sons, which is a minimum of 1" thick on all dimensions, and I use metallurgical coke in it, which doesn't spread fire like coal, so I don't need to water it, and thus don't bother with claying, and I haven't had a problem. So I'd say, it depends, but it probably doesn't hurt regardless.
I've also "heard" that fireclay has advantages since it can easily be removed to reline, but then again, satanite or mizzou can just be patched over. Anyway, if your firepot is an "antique", many of them did have instructions to clay them, so it may be prudent.