Importance of DDY and STAT weather files

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It definitely matters, but by how much is the question. If you are interested in design day peak load calculations, which is used for equipment sizing, it will matter. Mechanical engineers size based on specific sets of design weather data, often obtained from ASHRAE, and based on dry-bulb and mean-coincident wetbulb temperatures which correspond to 99.6% annual cumulative frequency for heating, and 0.4%annual cumulative frequency for cooling. This is the information that is in the DDY (design day) file.

You can find the ASHRAE design day data here: http://ashrae-meteo.info/

If you are just interested in energy, it can still affect results. Peak design day conditions do not necessarily correlate to the peak conditions found in an annual weather file. They can be higher or lower. This will affect the equipment size, and in turn affects the energy use of that equipment in your simulation.

I believe you are right about DDY data especially when you make sure that your sizing factors are larger than 1.

The STAT file is a Statistics Report of the annual weather data. You can use the Preprocessor WeatherConverter found in your E+ installation folder under the PreProcess folder to convert EPW data to STAT as suggested in this post. Try reading first the AuxiliaryPrograms pdf found in the documentation folder.