Why we need the Urim and Thummim again?

Because Messy-antics (Messianics) can't agree on anything and the rabbis (great ones) aren't so great. That is why.

The Urim and Thummim (Urim v'Tumim) were stones used by ancient Israel's leaders to reconcile difficult matters (something the Pharisees claimed to do, but apparently only made things more difficult in general). In a sense, the two stones were Two Witnesses for all the people to see... similar to the Two Witnesses who יהוה has indicated He is going to send to judge Israel and Judah again in the Last Days (Revelation 11:3-19). Who knows, maybe they will have the original or new Urim and Thummim stones.