DBMSs enforce functional dependencies using uniqueness constraints. A uniqueness constraint on a candidate key means that every dependency on every superkey that includes the candidate key is guaranteed to be satisfied. From a data integrity perspective, therefore, it's important identify the right candidate keys so that you enforce the right superkey dependencies. For example, a uniqueness constraint on a table's attributes {A,B} would enforce superkeys {A,B,C}, {A,B,D}, {A,B,C,D} but not {A,C,D}. Identifying the correct candidate keys relieves the database designer from the need to enforce every superkey separately.
A second reason why it makes sense to identify candidate keys is to ensure data can be used and interpreted accurately by users. Users and consumers of data need to understand facts recorded in a database and relate them to real objects or concepts outside the database. Candidate keys are the identifying attributes that make it possible to perform that mapping from database to reality. If a non-minimal superkey is used to perform such a mapping then there may be a greater possibility of ambiguity and error.
For example, suppose the key of employees in a company database is {EmpNum}. If the user of the database incorrectly thinks the key is {EmpNum, DeptCode} then she might erroneously believe that the following information refers to two different employees, instead of one.
+-------+---------+
|EmpNum |DeptCode |
+-------+---------+
|14972 |SALES |
+-------+---------+
+-------+---------+
|EmpNum |DeptCode |
+-------+---------+
|14972 |HR |
+-------+---------+
In reality, perhaps the single employee 14972 has moved from one department to another. Or maybe this employee truly is assigned to more than one DeptCode simultaneously. Either way, those interpretations depend on the user understanding that only one person is identified by the key EmpNum=14972.
Successful database design requires the designer to identify keys, verify their fitness for purpose and ensure that database users are familiar with what the keys are - at least for important entities that the users need to understand and work with.