The simple answer is, you probably don’t. Manufacturers like Meraki, Fortinet, Cisco, Sophos, and more offer firewall licensing options for their security products. But most don’t require it.
When you buy a firewall, you are purchasing a product that will protect your network from unwanted traffic. But there is a lot of hostile traffic that comes in many forms. And some of it’s easier to detect and stop than others. Not all organizations need to protect themselves from every kind of threat. Firewall licensing gives you a way of picking the level of protection you desire. Think of it as buying additional feature sets. Anything from very basic (for a home, maybe), to total protection (for a financial institution).
Fortinet has FortiGuard. They also have FortiCare, which is the tech support piece. Sophos calls theirs FullGuard and EnterpriseGuard. Meraki’s are the Enterprise License and Advanced Security License.
Firewall licensing is used to enable various features on the your firewall. And the same general principles apply whether the license is for a hardware firewall or a virtual/software firewall.