Its a great feature. I have a ledger nano S. It looks like a big USB key, so it would be really easy to lose. Or it could break or malfunction or get stolen or something. I don't want to risk a significant chunk of my assets on the off chance that happens, so I store the recovery keys in a safe place as a backup.

Now, given that I have recovery keys stored in a safe place anyway, the ledger itself is somewhat disposable. Its still a great way to actually access my money, but if something happens to it I can just get a new ledger. So, yes, I want it to wipe itself if the wrong PIN is entered a few times. That feature means if I lose the ledger I can relax knowing my money is still safe even if somebody finds it.