Is warming the cache after a purge worth setting up?

On a small site, not really. The first visitor waits a bit longer and everyone after them gets the cached page. It starts to matter when uncached pages are slow and you purge often, like a shop that clears the cache every time stock changes. Then a preload is worth it, but limit it to your important pages from the sitemap and throttle it, or a full-site warm-up straight after a purge can hammer the server harder than the visitors would have.