Niel, that's a good question and I'm often not sure. A bit like wearing a life jacket inside a cabin.
Normally I don't call the CG.
If I'm on my own at night I do.
If the weather is very rough I might.
When I've had a group of folk aboard where I felt I should call (an emotive feeling based on nothing) I've called them.
They've always been pleased to hear from me.
They almost always ask that I call when I arrive, which I would do anyway. But, I once got involved in other things and forgot; they didn't call me.
I usually call on the VHF.
I call if I'm leaving a car overnight because folk around the harbour generally keep an eye open for activity and could get alarmed if I didn't return at night. I use the phone for this call so that I don't tell everyone where my car is sitting unattended. I did this one time and a few weeks later found that there had been a call to the CG for that very reason but the watch had changed and the new folk hadn't noticed the notes about me. The local part time CG (who related the story to me) had been called to check things out. They finally got it sorted and found the notes about me so all was OK.
One one occasion at night I was on my own and called them, I had to do a wee detour because of fishing boats and it made me about 10 mins late, when I called, I could sense their relief.
It's worth making sure they have picked you up correctly. On the occasion above the CG lady repeated my plan back to me and she had picked up my destination as Port Edgar but I'd said Port Seton. I was leaving from Aberdour so it was in the opposite direction. That could have made a search tricky if it had been needed!
So, if in doubt, do call.
Oh, forgot. Boat name - Leaving from - to destination - number of persons on board - ETA.