Let me tell you a story about a holiday many years past at the Griffin family home.
Dad Griffin is a hunter, so dinner was to be a wild turkey. Young Brother Griffin demanded to be allowed to cook said wild turkey for the family feast. Dad Griffin had plucked his turkey when he processed it for the freezer, but he had not removed the pin feathers from the bird before he froze it, figuring that he would do so when we were going to eat the bird.
Young Brother Griffin neglected to pluck/singe off the hairlike pin feathers that coated the turkey before he roasted it. He also neglected to realize that wild birds aren't nearly as fatty and moist as domestic birds, and so he roasted the creature as though it were a Butterball. Young Brother Griffin thus presented to the table a wild turkey that was burned, dried out, and covered in nasty burned pin feathers that looked like hair. It looked horrible and was practically inedible. I went out for Chinese after that "meal." Young Brother Griffin hasn't been allowed to cook holiday meals for the family since.
That's why you want to remove the feathers--so you don't serve your guests hairy-looking birds.
The easiest thing to do with game birds is skin them, taking the feathers and skin off at one stroke, but then you have to lard them before cooking or cook them in liquid so they don't dry out. If you want the skin, first scald the bird in boiling water to loosen the feathers (and please do this step outside, because it will stink to high heaven). Then, pluck the bird of most of the feathers, and finally remove pin feathers either with pliers (if there are few) or with a propane torch (if there are a lot--if you do this, also do it outside).
One last thing--don't skin your birds until you get home. Game wardens need to see feathers to identify species.