First, CR is a process, not an identity. I know that a lot of people call themselves "CRs", but they're wrong to do so. If they insist on using the ugly term, then they should call themselves "CRPs", for "Celtic Reconstructionist Pagans/Polytheists". There are many, many problems that keep cropping up from using the term as an identity.
Now, that quibble aside, I'd like to discuss exactly what CR is, and what it is used for, and maybe provide some insight into why study is important (though I will preface this with the bald statement that all the study in the world is useless without practice).
As noted, we are left with a broken tradition. We, none of us, can learn polytheism in a Celtic cultural context from people who grew up raised in that framework. This is a terrible tragedy, and one we are stuck with. There is no way around it. What we *can* do, though, is discern what those ancestral polytheist Celts did, at least in outline, and we can learn as much as we can from those ancestors. This process, of examining the debris of the past to build a model of how that debris came to be is called "reconstruction". The term should be understood in a forensic sense, not an economic or architectural sense. We are reconstructing what occurred in the past, outside of our historical vision, in order to provide a model for how we should approach the spiritual today. We do this because we believe that our spiritual ancestors had valuable insights from which we can learn.
Most of us - I daresay all of us - did not grow up in a Celtic polytheist cultural framework. We, nearly all of us, learned English as our first language, and learned an English-language-based cultural framework (a few learned a different cultural-linguistic framework, but still there are few people living whose milk language is a Celtic one). Most of us, nearly all again, were trained in monotheist thinking (though I imagine that some were raised in the extension of monotheism called "atheism"). As a result, we have to learn all of that basic information. We have to learn the stories that someone raised in that framework would learn as a child. We have to learn the assumed behaviors. We have to learn how the world is thought to be put together. And so on, and so on. Most importantly, we have to learn the polytheist spiritual perspective (a very few people have the privilege of being raised in a polytheist frame of mind, but most are not then interested in a Celtic spirituality, having a polytheist cultural framework already available to them). If we do not do this, then in what way can we call our spirituality "Celtic Pagan/Polytheist"? If all we do is simply take our English (for most of us) cultural perspective and monotheist/atheist mindset and try to apply some names taken from Celtic fairy tales to the experiences we process through that mindset, then what is that?
And those were the questions we were wrestling with when we started doing the things that eventually came to be known as "CR". I could talk about how we needed, in those early days, to be fairly aggressive because there were a lot of people who were trying to impose alien intellectual frameworks to the material we were trying to approach on its own terms, and how that early aggressiveness became, unfortunately, one of the defining characteristics of those who came after, but that discussion is not really something that needs to happen in this particular thread (except as I've just done, as a sort of response to the people who are attacking "CR" based on what they've seen from some people who identify by that term).
Well, that was rambling. I hope that someone gets something out of it, though, perhaps more of an understanding of why some of us think that study is not merely desirable, but essential - though still subordinate to practice, of course.
Later, I also wrote the following in a related context.
[T]o me the use of reconstructionist methods in culturally-specific Celtic paganism/polytheism is a part of my ancestor reverence and devotion. It is through questioning the ancestors by methods of reconstruction that we can learn how best to honor their memories. That's why I get a little strict at times in judging whether something is appropriate or not. That said, "reverence" (or even "devotion") does not imply "slavish devotion", and I find that I am just as privileged to innovate (within reason) as any of my ancestors were in developing these traditions in the first place. It's a matter of balance and respect, as well as *ghostis (to use the PIE term) - which implies that the ancestors have a responsibility to us as much as we do to them.
While I'm at it, P. Sufenas Virius Lupus, in his blog Queer I Stand on the Patheos Pagan Portal, is also wrestling with the process of polytheist reconstructionism.
Dver at A Forest Door has also been discussing the matter, by providing examples.