First, our unnamed narrator introduces the frame for the story: the evening spent aboard the Nellie. Only through him do we meet Marlow. Marlow himself tells the framed story so most of the narration within the novel is told from his point of view.
The fact that the story is vocalized through Marlow might affect the way readers see things, especially Kurtz and the wilderness. It is obvious that everyone else thinks the world of Kurtz even if they do not particularly like him. Marlow, however, comes to see Kurtz as a madman. This may or may not be an accurate depiction, though Marlow seems to give enough logical thought and evidence to support his claim. Also, the wilderness of the interior, scary as it is, does not seem to affect all characters equally. Marlow, in particular, seems considerably spooked by it, as does Kurtz. Again, this depiction of the wilderness might be exaggerated because we see it through Marlow’s eyes.
So what’s the point of this nameless narrator? This has much to do with the setting discussion. Because we have another narrator, we can stop Marlow’s story and hear commentary on the Thames River and its surroundings. We also get those great little lines about Marlow’s voice so we can parallel him to Kurtz. In short, the nameless narrator is an opportunity for more commentary, more connections, and more flexing of Conrad’s literary muscles.
But actually, there’s more to this question. As it turns out, Conrad slips in a little answer right in the first few pages when he describes Marlow’s opinions on story-telling. Here it is:
"[…] to him the meaning of an episode was not inside like a kernel but outside, enveloping the tale which brought it out only as a glow brings out a haze, in the likeness of one of those misty halos that sometimes are made visible by the spectral illumination of moonshine."
If the meaning of this story is similarly on the outside, then we need to be outside this story (i.e., on the Thames) to get at it. This supports the theory that the point of Heart of Darkness is to draw parallels between the Thames and Congo Rivers, Europe and Africa, white Europeans and black Africans, etc. After all, Conrad flat out says that we can’t be in the story in Africa to get the meaning – rather, that the meaning envelopes the story in the narrative haze that is the frame-story. So, basically, it’s a good thing that we have that other narrator handy.