Many people have seen the brake rotor retainer clips on their Jeep's wheel studs, but few know what purpose they serve or what problems they can cause when aftermarket wheels are installed.
The answer to the first part of the question is that they're installed at the factory to secure the brake rotors in place as the Jeep moves down the assembly line, since the wheels are one of the very last components to be installed.
The answer to the second part of the question is a bit more involved. You will notice that the backside of the original Jeep wheels have an enlarged opening that accommodates these clips and allows the wheels to seat flush against the brake rotors. The Spidertrax Wheel Spacers I'm using on my Jeep also accommodate these retainer clips, but most aftermarket wheels do not.
If these retainer clips prevent your aftermarket wheels from seating flush against the brake rotor, your Jeep may experience wheel vibration, irregular tire wear, "death wobble," or even a complete separation of the wheel and tire from the vehicle!
Teraflex put together this short video to help illustrate the issues with these retainer clips:
To summarize, you do not need to keep these brake rotor retainer clips; once your Jeep has left the factory they serve no purpose, and can in fact cause substantial problems if you install aftermarket wheels.