HPA tanks often use a regulator, and most tanks sold for paintball come with one already installed. Regulators are important, becase paintball guns use pressure less than 800 psi- some guns use a lot less. But HPA tanks store air at between 3000 and 4500 psi. The regulator makes sure you're getting the right amount of air to run your marker. They also help regulate the amount of air released during a shot, so you get more consistent accuracy and velocity, especially when firing rapidly
Regulators are composed of a series of springs and shims, discs that function like a series of valves, to slow the movement of air. Some regulators can be adjusted by removing shims or tightening the spring. For specifics on a regulator, you should check your manual.
Some higher-end paintball guns come with a regulator built in to further give the best possible consistency.
For the most part, you don't need to remove your regulator unless you're replacing a faulty one or changing out an o-ring. The one notable exception is when flying, a tank has to be separated from its regulator. This is so the TSA can check the tank.
If you do need to remove your regulator, remember to deplete the tank as much as possible first. An aired-up tank will be more difficult, if not impossible, to separate from its regulator. That's because the tank pressure will essentially hold the regulator in place. When screwing the reg back on, remember you don't need to screw it in until you can't remove it- once it's full of air the pressure will ensure a tight seal.