As someone that played exclusively macro games until relatively recently (mid-Dia) I agree with OP that understanding and playing with cheese (e.g. pylon-blocking Zerg, cannon-rushing Protoss, proxy gating a Terran) is critically important.

First, it allows you to be more flexible and attack with micro, but it also creates weird games where if your cheese did damage but didn't necessarily end the game one way or the other you must play on. You learn how to transition properly, what to do in strange situations (e.g. having lost your main but still having a cannon-defended natural, or how to win a base race) and also the importance of timing.

The biggest thing I learned in starting to cheese is that 15 seconds is everything. If you delay a push by just 15 seconds that can be the difference between stim finishing, defender's warp-ins kicking in, a new round of zlings popping, etc. etc. I have become much more decisive when attacking (instead of my old macro "welll, just 1 more warp-in couldn't hurt" mindset) as a result of cheesing, and I also in turn am much more aware of how tenuous a cheeser's economy is when attacking.

Trying to place cannons and micro'ing your probe while it's being chased by the opponent's entire mineral line, placing pylons to wallin behind a mineral line (see: GSL qualifiers tonight, oGsMC vs. SanZenith from a few seasons ago, etc. etc.) will teach you about crisis management and the importance of how/when/where to scout.

I used to hate 4 gating, but after having done it now my ability to find opponent's proxy pylons has gotten way better-- because I know exactly what they're doing and what their thought process is.

I'd say try cheese and obviously don't center your play around it, but keep it in your back pocket and don't forget that there are things to be learned from it, just as is the case for macro games.