You don't need sfi, but most good stuff is. My fidenza aluminum flywheel is sfi. I think it just means its approved for racing classes. If you're buying a new flywheel, pick up an aluminum flywheel for a few bucks more. I've seen them for $280 on ebay if you use it. I don't so I paid a bit more through my builder who was reputible unlike some drop shipper.
It depends what you do with the car. At the track you'll more than likely run quicker due to the much less rotating weight. I also like the fact that since its less weight the engine has to turn, its less wear and tear on the shortblock which is a big plus to me. The only down side to an aluminum flywheel is it costs more than a billet steel. It isn't a huge difference in price though if you shop around.