If this is in regards to the air pressure gauge on a car warning you of incorrect tire pressure, it can alert you to a tire problem. Too low or too high of tire pressure can cause tire failure, which may not only be costly to replace the tire, but may also be dangerous if the tire fails at speed.
As for air gauges on units like compressors for garages, it allows you to monitor the air pressure in the tank. If it does get too high, it may catastrophically decompress, but this only happens in extreme case of failure in the compressor shut-off switch and in the pressure relief valve failing. The gauges are more helpful to determine if you can run tools off of the pressure in the compressor. For instance, some paint guns designed to run at 40 psi. You would use a regulator to maintain 40 psi and monitor it with a gauge. Too much or too little pressure and the spray quality will be poor. There are dozens or hundreds of other uses as well in that same vein.
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