What can happen if i dont and they return it for some reason or if they take more time to process the application ?
If you applied for OWP in the application, and they return it, you may not be eligible to re-apply for OWP as you must be in status to be eligible for the OWP.
If you fall out of status while the application is processing, you'll want to not leave Canada, as you may not be re-admitted. It's typically not a significant issue if you fall out of status during the process, but in case you interact with IRCC/CBSA in some way, it's probably a good idea to be ready to answer questions.