It's lowish on the priorites list when you're building the ground initially, but once you're financially sound, I think it's a good thing.

The benefits of it are you get a choice of four, and when you improve the academy you get to see their ages and physical skills - strength, speed, agility, and stamina. So you can choose the best of those and it would give your new player about two years advatange over a bog standard youth pick. That might not sound like much, but consider that at the top level a player might only get 5 or 6 years in the first team before they start to get too old, so it's a good thing for sure. If choosing the youngest or strongest isn't your thing, you can also choose the player with the best name.

Apart from the physical skills, there's no advantage to how good they actually are. They still might be 1 intelligence, 2 consistency and 0.5* talent of course. It's quite an outlay too, about $1.4 million for the fully improved building, so as I mentioned at the beginning, do make sure you're ok with throwing that kind of money at something beforehand.