The tokens have only been added to the game this edition, but all the effects/situation they indicate have actually been part of the game for many years - which probably says enough about whether they are really necessary. Have seen people occasionally make their own before, but rarely.
The magical power effects can be useful, but with few spellcasters in a game and most magic lasting one turn, both players would normally remember. Charging cavalry is often easy to remember too, but when there are many models of which some were charged, and others countercharged, separating those is practical, as there can be quite some time between part of the movement phase and the subsequent combat phase, especially in larger games. "Prone" markers I'd say are the best ones, because the old rules of laying models down create problematic situation for their footprint - do you charge the actual model, and if so how about weapons or outstretched limbs? Only thing is that the tokens can also get in the way.
That said, I have certainly had situations where spells or details have been forgotten during gameplay, and tokens would have been a nice reminder. Not an issue in casual games, but in a tournament taking forgotten Fury saves the next turn, or debating which figures charged as neither player can remember, isn't ideal.