If you can play by ear just fine, you should have no problem with ear training.
Or in other words, if you can't identify an interval of a major third versus a perfect fifth, say, when you're listening to something, it doesn't really make sense to me how you can play by ear. Are you talking about having the ability to slowly "hunt and peck" with the aid of your instrument and eventually figure out that what you stumbled upon matches what you're hearing?
If you practice that so it's not so much hunting any longer, you've mastered at least the basics of ear training.
Ear training is useful both for understanding what you're hearing better and for many different situations re gigging, as it's important, and often (if not always) imperative to be able to quickly grasp what the musicians playing with you are playing in some detail, without having to work at that. You want to be able to do it on the fly.
It's also useful if you have any interest in composing--it enables you to simply think of something and easily figure out the details of that. You can even compose without the aid of an instrument.
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