[mtnboomer]

The wad is used primarily to seperate the powder from the projectile, it holds the powder in the chamber and seals it from moisture, it also keeps the hot gases created by the burning powder from melting the rear of the projectile and leading the barrel. A wad is also needed to protect the powder from contamination from the bullet lube if you leave the chamber loaded for any extended period of time. The reason the video showed the shooter not using a wad was because they were shooting immediately after loading (although a wad occasionaly will help keep the bore clean).

FYI - Sometimes several different types of wads are used at the same time (usually in rifles and shotguns). Some are lube wads, some are cushion wads and some are spacer wads.