You don't have to fight the Master Thieves. You can win the game quite easily without fighting them, and no future puzzles depend on anything you earn in the Cloak Room. However, if you want to finish every quest in Cawdor, be sure to move quietly and track frequently, because there are many ambushes here. If you do successfully defeat all the Thieves, and manage to enter their well warded closet, you will earn Lugh's Spear.