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.
If you are looking for a bag glove that is more protective Phenom offers some great options. The XRT-220 model offers some of the most protective lightweight boxing gloves on the market. The XRT padding is specially designed for absorbing impact, so the user doesn't feel the shock on their hands providing unparalleled performance and protection.
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.