Reid Havens explains why he teaches DAX in his Power BI courses:
The Check Formula button is an easily overlooked feature. However, before I hit ok and save my DAX Measure I ALWAYS press this button first! But what exactly does this button do? Well it’s checking your DAX syntax and making sure everything is written correctly. Now you COULD simply hit OK after writing your DAX and see if it errors, this is true. However when doing that your data model is actually attempting to calculate the DAX measure in the background as well. Not a big deal with a few thousand rows, but if you’re working with a model that has millions of rows then that could take a long time for it to calculate, and then error!
The smart thing to do is to check your DAX syntax using the Check Formula button BEFORE hitting ok. Checking your DAX syntax doesn’t run your calculation and returns a rewarding No errors in formula output if everything was written correctly. Such a simple thing that can save you SO MUCH TIME! I highly recommend as a best practice to always use this before hitting ok and saving your measures, you’ll thank me later.
It makes for interesting reading.