Since Andrej has somewhat covered the operational side, I'll take the
more semantic/category theoretic perspective of why we care about
stacks, that is especially relevant in EEC.
The general philosophy of categorical logic is that all types should
be defined by a universal property. In CBPV without stacks, you cannot
give a universal property to the $F$ type. I believe this was not
discovered initially because Levy was originally working based on
concrete denotational models rather than general categorical logic.
To see what I mean, let's consider the universal property of the thunk
type constructor $U$, which is that the sets of computations $\Gamma
\vdash M : B$ are naturally isomorphic to the sets of values $\Gamma
\vdash V : UB$. This is essentially what is encoded by the intro/elim
and $\beta\eta$ equations for $U$. Now what's the universal property
of the $F$ type constructor? It turns out that it says that sets of
computations $\Gamma,x:A \vdash M : B$ are naturally isomorphic to the
sets of stacks $\Gamma | F A \vdash S : B$. In particular, I don't
know how you can state the $\eta$ principle for $F$ without using
stacks, which says that for any stack $\Gamma|F A \vdash S : B$ that
$$S \equiv \bullet \textrm{ to } x. S[\textrm{return } x]$$
which might also be written as saying for any such $S$ and $\Gamma \vdash M : F A$ that
$$S[M] \equiv M \textrm{ to } x. S[\textrm{return } x]$$
I know from experience, that you need this rule frequently when proving program equivalences where computations use the $F$ type.
When looking at the models, you get that rather than describing an
effect by a strong monad $T$, you describe it by a strong adjunction
$F \dashv U$. What are the two categories involved? The category of
values and the category of stacks.
Stacks become even more important when you move to the setting of
enriched effect calculus. There they are written as terms $\Gamma |
\Delta \vdash t : B$ which are typed with a non-empty stoup
$\Delta$. In EEC, we need the stacks to describe the universal
properties of types like the tensor product $!A \otimes B$ (which
generalizes $F A$), the linear function space $B \multimap B'$ (which
generalizes $U B'$) and the computation sum types $0, \oplus$. The stuff by Ahman extends EEC and includes these connectives as well.
Finally, a bit of semantic intuition for what a stack is. We can think
of values as "total" functions between value types, and we can think
of stacks as "linear" functions between computation types. This can be
formalized in the idea of "thunkable" terms, which are computations
that "act like" values and "linear" terms which are computations that
"act like" stacks. This idea was introduced by Guillaume
Munch-Maccagnoni (1) and is shown in CBPV syntax in section 6 of (2).