For me, the written exercises help with my facility to be able to choose, not just the proper verbs, but also the proper tenses "on the fly", so that's really important if you want to be able to have impromptu conversations. RF gives you typical scenarios, so it's good for basic conversations/pleasantries/occasions, like being a tourist, but if you really want to have *sustained* conversations with French people on a deeper level on a variety of subjects, you will need to be more agile in forming sentences beyond the "script".
Again, I picked up my first grammar review book (intermediate level) after finishing all three levels of Rocket French, so I could already see that the explanations were more detailed on grammar points, exceptions, and register of language (more formal, more casual). As an example, there's another thread on this forum that talked about the difference between using "Est-ce que" versus inversions, when they're both considered "formal". The answer I provided on the subtlety came from a grammar book.
I should add that my goal is to be fluent, and if your goals are different, then this approach is probably overkill for you (I also have three tutors now: one for grammar, one for conversation, and one for ear training regional accents). I will say though that I just came back from Avignon two weeks ago, and several people thought that I lived in France and were quite surprised when I said I live in New York (people have said that my accent is quite good), so for me, that's the payoff for all this effort.