Of course you need the coordinator provided by your wedding venue (ceremony and/or reception) because they are most familiar with the way things are usually run at your chosen location. However, there is a difference between this person and an outside wedding planner that you would hire to be your liaison.
The venue coordinator is responsible for what happens inside their 4 walls. They are responsible for making sure you get the items you paid them to provide. They make sure the caterer provides the right food at the right time. They make sure the bar is stocked properly. They make sure the right number of tables and chairs are provided for your guests to be seated. The venue coordinator often leaves after the meal is served and leaves the rest of the event in the hands of the banquet captain.
Your privately contracted wedding planner may help you create the details for your wedding (venue, professionals, colors and/or theme, stationery, flowers, etc.) They will start working before you get to the ceremony and after you leave the reception. They will troubleshoot problems as they arise so you don't have to interrupt your moments with friends and family.
Real examples from our experience... Your photography services end before the reception is over so the timeline has to be adjusted accordingly... the florist delivered the wrong corsages for the mothers of the bride and groom... half of the specialty linens ordered didn't arrive at the venue... the limo driver got lost on the way to the church (with the bride inside). These are issues that the venue coordinator either would not know about or would not be able to help you with.
There are many other things that a wedding planner that you personally select and hire will do for you, but we hope you now have a better understanding of the differences. If your venue coordinator tells you that you won't need a wedding planner because they do it all, just ask them what they do to help you before you arrive at the facility.