Is it worth getting armor that gives MSI?

I'm wondering if you guys think getting armor like the mercurial set to give MSI (Movement Speed increasment) is worth getting, I looked at some demonstrations of how fast it is and to me it seems extremely underpowered and quitely useless, but even if it is worth getting, what's the best way to use it?

In case you haven't read it already, the wiki page Abilities explains the size of the speed increase: about 4% per level of MSI.
I often play with MSI+4 (the maximum currently attainable except when temporary boosts are in effect). This is about 16% faster than regular speed. It is quite noticeable. Indeed, playing at regular speed feels like walking through water to me now. Even MSI+2 is noticeable.
Spiral Knights is ultimately a game of dodging enemy attacks, rather than tanking them with armor or shield. This is especially true for bombers, who are usually charging and hence not shielding. I find that MSI greatly helps me dodge. It also helps me reach spawn points to kill menders and rocket puppies quickly.
Mercurial is okay but not great. The MSI and shock protection are nice, but that's all it offers. Instead, get the 3-star Black Kat helmet, which is obtainable by anyone who plays a Kataclysmic Confrontation seriously. It's much easier to get than the other Black Kat armors. If you're a bomber, then consider also Mercurial Demo, which is great but which requires a Shadow Lair trip.

tl, dr: it helps w/ dodging, plus it is FUN to be fast

Bopp is a bomber??
(And what armor does he pair with that 3* BK helm?)

Yeah, I know that I often talk about swords. But when I'm not swording I'm usually bombing. And even when I'm not bombing I often run with MSI+4. This is accomplished through two pieces of Black Kat. A more practical solution for most players would be:
* 3-star Black Kat Hood (70 Ancient Pages --- no big deal)
* Chaos Cloak or some kind of class armor (Skolver, Shadowsun, Bombastic Demo, etc.)
* Swift Steps II sprite perk
This gets you MSI+3 and lots of offense, even before considering the shield.
Mercurial sets are the 4th option for gunners. Typically sets revolve around damage, MSI, or CTR, these boosts can help you deal more damage but can't always keep you safe.
MSI gives you an edge when you need some movement speed and allows you more agility to dodge about.
Unfortunately the FSC (most commonly farmed mission in the game) has lots of fire and shadow damage.
Mercurial can find some use here and these but it is typically left out since most players opt for more offensive loadouts. Still, I made my way through the game in the Mercurial set and you can too if you want.