I'm just learning a bit about axiomatic set theory, and I'm kind of confused as to why we need/want this axiom?
Does not accepting it imply that there exists some set which doesn't have a power set?
If that was the case, why would we consider it a problem?
The power set axiom is used to construct Cartesian products, which are used for relations, which are used for defining "function."
See https://en.wikipedia.org/wiki/Axiom_of_power_set at least for Cartesian products.