You should set up cross domain traffic set-up if you have multiple website domains where your user journey takes place. For example, if you use any additional third party registration platform or payment vendors (such as Paypal).
Cross-domain measurement improves the accuracy of your reporting by unifying the measurement of users and sessions within a single stream. Note: cross-domain tracking only works if all domains are tracked under the same GA4 property and this needs to be deployed on domains.