There should be one on your car from the factory. It allows the proper amount of fuel to flow to the injectors. It makes sure there is not too much and not too little fuel under all driving conditions.
It works off vacuum and lowers pressure for idling. The stock unit is fine and I never change it at all. Some folks fiddle with it in order to alter fuel delivery amounts but it is too inacurrate to be safe. Better to adjust injector duty cycle instead.
Modern EFI systems are designed to run with the fuel pressure at 43.5 psi (3 bar) above manifold vac/pressure. The WRX has a fuel pressure regulator with a fixed 1:1 rising rate. When the manifold has a vacuum of -10 (almost -0.07 MPa on the stock boost gauge), fuel pressure is about 33.5 psi. When the manifold is at 0 boost (0 on boost gauge or normal ATM pressure), fuel pressure is 43.5 psi. When the manifold is at 14.5 psi of boost (1 bar or 0.1 MPa), fuel pressure is about 58 psi.
The reason for doing this is to maintain the 43.5 psi pressure difference between the fuel pressure in the fuel rails and the air pressure at the tip of the injector. It also keeps the fuel injector flow rates stable for a given injector pulse width.