MSLU is a conversion layer developed in response to an increasing need for globalized applications that work just as well on code page-based Windows 95/98/Me systems as they do on Unicode-based NT/2000/XP systems. In other words, with MSLU you can write a single Unicode version of your application and have it run properly on all platforms. MSLU is not needed for applications that will only run on Windows NT 3.1 through Windows NT 4, Microsoft Windows 2000, or Windows XP, since there is no reason to translate Unicode APIs to Windows code-page APIs on these Unicode-based systems.
The distinct benefits of using MSLU when creating world-ready applications far outweigh the few limitations. Since Unicode facilitates global application development much more than code pages, MSLU allows you to leverage Unicode's superiority even on operating systems that are not Unicode-based. Additionally, instead of having to write both a Unicode and a Windows code-page version of an application, you create a single binary that works on both platforms.
It is recommended that you test how your application behaves on Windows 95/98/Me. This allows you to see what happens if your application is used beyond what the system can support, so that you can fix any problems before the application is shipped to the user. Although you can create your own conversion layer between Unicode and Windows code-page APIs, it is much easier to use MSLU, with its thousands of lines of code that already handle many special cases that you might not even consider.