NSF certification ensures that the water filtration system you choose has been tested by an external party and is guaranteed to do what it says it will do. However, the lack of NSF certification does not necessarily mean the filter won't do what it says it will. Some companies, like the makers of the Big Berkey, use other independent testers because the NSF doesn't test for as many contaminants as they believe it should.
When you buy a water filtration product, it should have some sort of certification, but not being NSF-certified does not mean it won't work.