In an effective color management workflow, you want to build profiles for all the devices in your workflow. At a minimum, you'll want to profile your monitor, so you can accurately see what is in the digital file. But you also want to create a printer profile to correct describe how your printer and its inks will respond to the paper type you are using, and the resolution setting you use to print files.
Creating the monitor profile allows you to correctly see what's in the digital file. Creating the printer profile allows you to get the most accurate reproduction from your printer/ink/paper combination.
Softproofing allows you to see a representation of what the printer profile will give as a result. It will always be slightly different than the monitor view, as most monitors will have a wider color gamut than any printer will. The major benefit of using softproofing is that it allows you to quickly (and at no cost) see if the results of the paper choice and the printer profile you've created will maintain the image your monitor profile was showing you. If you find that the printed image is likely to change significantly when you softproof, this is usually due to your choice of paper stock.
Softproofing your images is a very simple, quick and free way to verify that you're going to like the printed result when you use that profile. Also, if the printed result doesn't resemble the softproof, then you have already identified that the printer profile isn't the cause, but printer settings in software likely would be. We would suggest that if you don't think the softproof looks correct, or isn't to your liking, then please don't print your file. The softproof is alerting you that you need to revisit your profiles to see if both of them are created correctly.