You need something with a minor amount of play to handle any mis-alignment of the stepper and leadscrew.
Their coupler puts a easily replaceable failure point in the system that is a lot cheaper to replace than a broken stepper or leadscrew.
Besides replacing the plastic bits every few hundred hours of milling it is a system that works great. If you want to use something else you could get an Oldham coupler. I wouldn't recommend just putting metal in there instead of the plastic, you'll either end up with couplers that can handle no misalignment or they'll have some play that will turn into serious backlash.