Recently student Jay M. asked me:
Technically there isn't anything you can't do with a direct-drive mill (as opposed to one with reduction) - but reduction gears make life way easier!
Most importantly, reduction gears make it much easier to roll down sheet from one thickness to another, say from 18 gauge to 22 or whatever you like. Mills are designed to do this; really it is their primary purpose. Traditionally you'd melt an ingot, then roll it to the thickness you wanted before you ever got out the jeweler's saw. It is only our 21st century laziness (and convenient online ordering from places like riogrande.com) that have made us order our metal at exactly the thickness we want and relegated the rolling mill to more of a texturing tool.
Our mill at school has 7:1 reduction, so you can imagine you'd need a lot more force for the same effect with a direct-drive. Rolling down sheet needs proportionally more force as it gets wider. I'd say rolling down anything wider than 2" would be extremely difficult without reduction. Some direct-drive mills have two handles so you can apply more force (by yourself or with a friend) - that would be handy! So to speak.
Oh, and I can't help but add to please never buy a cheap rolling mill ($300 or less, with gear offset from rollers). It will break quickly, but before that it will put horrible waves and distortions in your sheet. Save until you can at least get a Pepe. Or scour ebay and craigslist for a used Durston or Cavallin.
Bottom line, for rolling down wire and texturing fairly narrow metal, I think a direct drive is fine. It'll save you $$ and it'll keep you in shape. But if you are planning to roll down sheet on a regular basis, spring for at least 5:1 reduction. Happy rolling!
Educator, metalsmith, jeweler, maker of custom mokume gane jewelry and wedding rings.