A number of events take place off-stage in A Doll's House.
The party which precedes the final scene of the play takes place off-stage. At this party Nora demonstrates her desparation by dancing wildly. Also at the party, Dr. Rank drinks quite a bit of champagne and lets loose at the party, demonstrating his realization that his life is essentially over.
Earlier, nearly all of the activity regarding the letter than Krogstad leaves in the mail box occurs off-stage. The delivery of the letter and Nora's attempt to force the mail box open with a screwdriver both take place off-stage.
These events help to build suspense as well as proving again Nora's nervous despair. The letter is highly important to the plot of the play (in addition to bolstering certain themes).
This letter will reveal Nora's crime, forcing Torvald to either do something "wonderful" or ruining the Helmer marriage. As it is initially introduced, the letter will also solidify Krogstad's position as an anti-social, vengeful man.
As a plot device, the letter serves these purposes to great effect, creating a potent symbol charged with anticipation and portent. In a play where subterfuge and deception take center stage, the letter - off-stage - represents the inevitable truth.