The purpose of a heavy bag glove is to have a pair of boxing gloves dedicated to heavy bag work, which is a great way to prolong the life of your sparring gloves, since most bag gloves have a denser padding to absorb impact on a dense heavy bag and depending on the model of bag glove you choose can provide benefits; such as, using a lighter weight glove (10oz-12oz) for developing speed/snap on punches, conditioning knuckles/ joints, and reinforcing proper punching technique.
There are a few different bag gloves on the market, some are what I consider "old school" bag gloves, which are a minimalistic styled glove with very little padding to help reinforce proper punching technique and condition knuckles and wrist; however, those with pre-existing hand injuries may want to steer away from these gloves or exercise caution while using these.
Phenom BM-15 are some of my favorite old school bag gloves, these have almost no padding, but it's great for learning how to properly turnover punches, conditioning hands, and is a great light weight option.
Professional Gil old school bag gloves are some of the most durable and beautifully crafted bag gloves I've used. They have a thin layer of latex, so it provides a more comfortable and protective experience, they are also customizable, so you can add your own styling to make a truly unique piece of training equipment.
The Phenom XDT-200 bag glove is intended to have the fit and feel fo a fight glove with added durability and more protective padding for bag and mitt work.
Overall you don't have to use a bag glove to hit the heavy bag, but if your looking to prolong the life of more expensive sparring gloves or want to have a lighter glove to help develop speed or maybe you want a glove that is designed to absorb impact and protect your hands, then investing in a quality pair of bag gloves may be beneficial for your boxing training regimen.