XML Schema's can be used to validate XML. This is a powerful, yet performance intensive task. During development and testing the validation provides useful insight in tracking problems. Once the system is stable this is less of an issue (unless 'anonymous' people can access your service).
The Service Broker documentation in SQL Server 2005 says the following about schema's:
"If the conversation uses XML messages, create a schema for each XML message. You use schemas during development, testing, and troubleshooting. When your service is in production, you may decide to remove schema validation from your message types, to improve performance."
Kinda makes sense.