Yes, you should always use it. People make fun of Visual Basic all the time, saying it’s not a real programming language, partly because of its “On Error Resume Next” statement. Yet that is the default in shell! set -e should have been the default. The potential for disaster is just too high.
In places where it’s ok for a command to fail, you can use || true or its shortened form ||:, e.g.
grep Warning build.log ||:
In fact you should go a step further, and have
set -eu
set -o pipefail
at the top of every bash script.
-u makes it an error to reference a non-existent environment variable such as ${HSOTNAME}, at the cost of requiring some gymnastics with checking ${#} before you reference ${1}, ${2}, and so on.
pipefail makes things like misspeled-command | sed -e 's/^WARNING: //' raise errors.