In practice it may not change much, but more philosophically speaking, it's dangerous to take something as granted without a proof. If we then have many ideas building off this unproven idea, and it's later shown to be false, a lot of those theorems would be based off a false premise. This doesn't necessarily mean they the proposition is incorrect, but it would mean that they are unproven.
It's more to satisfy the rigour in maths, and also pose as a challenge to mathematicians. In the journey to proving RH a lot of new ideas could be found that could prove useful, too.
A silly example (from memory) using another rather non-obvious proof.
1. Assume 2^(1/4) = X/Y for integers X/Y (Assume the quartic root of 2 is rational)
2. Raise both sides to the 4th power: 2 = X^4 / Y^4
3. Multiply both sides by Y^4: Y^4 + Y^4 = X^4
4. QED, quartic root of 2 is irrational, by contradiction with Fermat's last theorem.