Cornstarch is an anti-caking agent, which means it will keep your moisture from getting into your powdered sugar and keep it dry, so you can store it for a long time. If you are using the powdered sugar immediately in a no bake recipe, you can skip adding the cornstarch. However, if using in a baked recipe, the cornstarch may also assist in the texture of the final baked good, so don't skip it.