This is something that is just missing when you are working by yourself as a freelancer. I could be a good coder, but crappy co-worker and I'd never know that if I just work by-my-self. Personally, I'm an OK programmer. But I used to be crap at teaching people. I freelanced for almost 7 years before I joined my first programming gig, and this is one of the first things I learned. Without feedback from my colleagues, I would never even have found out about it, unless I had gone out of my way to get myself involved in teaching.
And the way I look at it, feedback from your co-workers doesn't just improve you as an employee, it usually helps you grow as a person as well, and fix some error of your personality or character. For me, improving the way I try to teach things to my peers made me a better programmer, and [plug]helped me a lot while I was writing my book (https://www.amazon.com/Django-Project-Blueprints-Jibran-Ahme....
Perhaps for people that want to grow their roles in organisations, it's important. As a freelancer, I am happy to live without this ritual. In the past, before I became freelancer, I dreaded these reviews, as I suspected often these performance reviews could be politically charged and not necessarily deal with my performance (for example a manager might tell me I need to improve some aspects for a raise - I might have to suck up to some manager to get more chance for a big raise, when a limited budget is available for a group of employees).
As a freelancer I am free to decide on the aspects I want to improve on and as such I don't need a manager to help me with this. This makes me much happier.