I've worn 2 different arm guards in the past, a Newbery and a Kook Kahuna Pro (which is real quality construction and protection wise!)... Last season I opted to go with a wide sweat band instead only because I was convinced the arm guard added weight although there's hardly any weight to them. Reducing weight is a bit of a constant obsession for me and actually last night took off all my second grips on the 5 bats I have, which near as, has reduced all of them by a couple of ounces.
I think in outdoor nets with some of the wayward bowling, it was safer to wear one just to protect myself from short pitched or full balls 'hurled' directly at me. However, the bounce is not replicated on the wickets we play on so never been hit on the arm or wrist, which is where I have caught one or two in the past in nets.
It's a confidence and mental thing in my opinion. I also have an aero chest guard which I've never used at all either in nets or in matches.
I agree with former comments that at nets or indoors it may be worth wearing one just for piece of mind but then saying that if you're not going to use one in outdoor matches then why bother and get used to getting part of the glove, handle or bat in the way to protect yourself.
Regardless, I still have the arm guards in reserve including an aero one which I couldn't see myself using as a 'sock type' fitting. I get enough stick with my aero p2 leg guards at training, but they're so light and do a great job.