Maybe your fingers are dirty, and you don't want to touch your iPhone to read the transcriptions for your newest voicemails. Perhaps you don't want to or can't use Face ID or Touch ID to unlock and aren't within arm's length of your iPhone. Maybe you're absorbed in some major gameplay that requires the attention of both your hands and face, and you just want to listen to what your last received message was.
There are many reasons this could be useful, but it's also just freaking badass to be able to do this whether you need it or not. I mean, what could be cooler than telling people you can unlock your passcode-locked iPhone without even holding or looking at it?
Note: In iOS 14.6 and later, this trick will work on the passcode screen even after restarting the iPhone or powering it down and turning it back on, and that's because Voice Control is still actively listening when the iPhone is booted back up. However, before iOS 14.6, you're limited to using this trick after Face ID or Touch ID is disabled or when using Siri actions since Voice Control is still active in those states.