If you switch doctors, if your doctor retires, if your doctor moves to a new practice, if you don't go in for a number of years, your files may be permanently lost or shredded.
See Advice: Get baseline blood work for more, but generally, it can be great to be able to reference even seemingly mundane test results as your health changes due to age, illness, accident, etc. Historical data can help you narrow the hypothesis space.
Fine to collect your records digitally — you might be able to do it at the office with a scanning app on your phone.
Note: if you do need medical records, e.g. if you get a weird blood pressure rating and your health care provider wants to know whether that’s typical for you, remember that you can request data from other providers (even if you didn’t get a copy at the time). You may not have noticed, but every time you go to the dentist, they take and record your blood pressure and will happily give you that information if you need it.