I wouldn't personally unless the plan is a replacement plan, but I don't think Walmart plans are. BTW, the Walmart protection plan isn't administered by Walmart. It's an independent company, so I don't think you would return the machine to Walmart.
Brother warranties their lower priced computerized machines for two years these days (except for the chassis which is still 25 years). If you pay by credit card, most cards extend the warranty an additional year, which would give you a 3 year warranty. If you do go ahead with the protection plan, you might want to check if you have to ship the machine to a service center at your expense. Many of them require the customer to pay for shipping the machine back. That would cost as much as the warranty.