A 'boost' gauge is actually a pressure gauge, measuring the amount of pressure in the intake manifold. Problem is, none of the DSM cars actually have a pressure sensor anywhere along the intake path, so the car cannot directly measure intake pressure.
The stock 'boost gauge' actually reads out an educated guess from the ECU as to what the boost should be. The guess is based on RPM and airflow into the engine, both of which the computer does monitor for other reasons.
The guess is reasonably accurate, but is based on the stock engine. As soon as the engine is modified, the intake/RPM relationship changes and the guess is no longer accurate. This holds true even if the only modification is a K&N air filter.
Technically, you do not need to replace the boost gauge unless you are planning to add modifications which change the amount of boost, such as modifying/disconnecting the wastegate solenoid, installing an electronic or manual boost controller or a bigger turbocharger. In this case, you absolutely must have an aftermarket boost gauge installed in your car before proceeding. Failure to install one means you will be changing critical aspects of engine operation without having reliable feedback as to if the changes are safe or not. However, the stock boost gauge will still be unreliable with other engine modifications, such as air filter, exhaust, downpipe, and cat modifications which have only a peripheral effect on intake pressure.
Overboosting the engine can be extremely damaging, even to the overbuilt 2.0 Mitsu four-bangers. Tom Stangl had an unfortunate experience when he accidentally overboosted his engine, resulting in very serious and expensive damage. See here for details. Because of the potential for this type of damage, it is highly recommended that an aftermarket boost gauge be #1 on any DSMers list of modifications.
For more on this topic, see Danny Yoo's boost gauge page, which contains more details as well as links to installation information.