Bedrockgames
I post in the voice of Christopher Walken
Sure they do. I mean, there aren't TNs in real life, but there's a constant evaluation of risk versus capability. It's fundamental to existence. Not having a way to gauge risk in games is bad. Your example of 3d10 being pretty good is exactly what's being discussed -- this knowledge isn't helpful at all if you don't know the level of the challenge. If it's a really hard challenge, but you don't know it, then your faith in 3d10 will lead you to make a choice that's not desirable. TNs aren't magic, they're how you, as GM, can communicate difficulty to the player based on what their PC's perceive.
Now, I prefer less number centric descriptions, so when I run 5e, for instance, I'll say things like, "It looks like an easy climb," or, "that sounds like a really hard thing to do, are you sure?" My players know that easy is 10 (or nearabouts) and really hard is a 25 because I uses the easy/moderate/hard/very hard/near impossible scale for 10/15/20/25/30.
But our understanding of the actual risks when we do things is no where near the precision of knowing the probabilities. Nor is it as precise as the difficulty descriptions in 5E. It is a very general, vague, and often inaccurate sense. If you try to punch me in real life, you have very little idea of your chances of successfully hitting me. You just have vague general sense and a general confidence level. Humans are not computers.
That said, players do need a clear understanding of what they are up against. They don't need the odds, but they need a visible picture of the challenge (there is a big difference between a 5 foot chasm and a 40 foot chasm).
But even in a dice pool system, part of the GM's job, if the game uses TNs, is assigning ones that make sense. That isn't terribly difficult to do. Even if the GM doesn't know the actual probabilities, they learn through experience what is difficult and what isn't. The challenge being faced, and the TN for it should match. But it doesn't need to be tailored to the PCs skill level. If they have a good dice pool, and are skilled at the task, they will have an easier time succeeding. If they have a bad one, and a not very skilled, they will have a harder time succeeding.
Personally I don't want players thinking in terms of numbers. In your example, they are still doing that because, as you point out, they equate the different difficulty levels, with a number. What I would rather give them is as good a description I can of whatever it is they are facing. I view the difficulty descriptions as guidelines for the GM, in setting the difficulty, not as guidelines for the players in determining whether they try something.