Once you loged in to the client, it will remember your login credentials. You may as well use the client to connect faster. You then may only play using the client to prove you're innocent.
You are not obliged to use the client admins may however lock you out of the server if you are suspicious. Due to the lack of anti-cheat possibility in SA-MP, Italy Mafia has it's own client which reads your GTA for illegal cheats/hacks before you can play.
