Especially in lambda expressions for LINQ methods...
But you can already debug inside lambda expressions. E.g. for
new string[] { "1", null }.Select(s => s.Length).ToList();
But you can't always debug code that's out in the wild with the same exact scenario that caused the NRE.
It's helpful to have the actual thing that's null for post-error troubleshooting.
The whole discussion is about a debugger feature, or at least, the runtime groundwork required for said debugger feature. It will not result in the exception message telling you the null reference's name. It enables an attached debugger to query the runtime for additional information to determine that.
I'm not justifying buggy code, but these days we do handle more objects-per-debug-line-number than we used to.