The Accursed Flame Gem was an artifact held by Fafnir in the Cave of Fire in Muspelheim. It is capable of destroying the wall of ice that blocks the entrance to Jotunheim.
The gem was cracked during the Aesir's assault on Fafnir. Freya charges Valkyrie with repairing it, sending her to meet with the elves in the Forest of Spirits. Valkyrie collects the items necessary to repair the gem and sends it to Odin.
The gem is completely useless to Valkyrie, so there is no reason to keep it.