Yes, it is essential to pronounce the sounds of Seen, Saad, tha, Za, Dhad etc correctly. Sometimes the meanings change a lot due to minor mistakes.
For example, ظل means shadow and ضل means stray. Allah says in Surah Maryam about the wrongdoers:
How plainly will they see and hear, the Day that they will appear before Us! but the unjust today are in error manifest!
And in Surah Al-Waqi'ah He speaks about the pious that they will be in:
In shade long-extended, [56:30]
Now if you read this with the sound of Dhaad, imagine how the meaning of the ayah will change.
Similarly, they give the example of قلب and كلب to explain the difference it makes when you don't pronounce 'Qaaf' properly. قلب means heart and كلب means dog.
There are many more similar examples but that's all I can remember this time.