Let's have a look at what the potential benefits and losses are. The discipline of taking part. This really applies to amateur and beginner writers who are all too likely to have any number of unfinished projects and find it hard to get them polished and submitted. Taking part in a competition entails producing a piece of finished writing on a set topic, which conforms to a set of rules usually including a word limit, and submitting it in time to meet a deadline. This practice in itself may make it worthwhile entering.
Some competitions offer a critique as part of the service.
Usually this involves paying extra, and may not consist of more than a grid with ticks or crosses. There are professional critique services which operate apart from the competition circuit and if you really want comments on your work you may do better to pay for the one of these. Alternatively, there are internet news groups and e-mail based circles of writers who offer comments on each others' work. These are free, and some of them are very professional. You, too, get to critique the work of others which is a very useful way of learning.