I have a p2V+ Vers 3 - What is the reason that I would need to update to NAZA firmware/software? Is there some advantage?

I see that Naza doesn't support Ground Station.

The Phantom Naza does support ground station.
Naza gives you IOC with Home and Corse lock, and the ability to switch from GPS to Atti and RTH.
More info can be found in the Naza manual, from the downloads page.

There is no NEED to switch to Naza mode, but it is some clear advantages as long as you read the manual and watch youtube videos on the matter.
Here is a video you can start with :

You can also check out this tutorial, it covers virtually everything Phantom:

https://www.dropbox.com/s/mv8d1h ... ry%20Guide.pdf?dl=0