That way you can burn it to a CD to listen to in your car or put it on your iPod Nano to take to the gym with you, and the file can't be revoked just because Microsoft changed the license. These are completely legitimate use cases. I'm sure such a hypothetical situation would work with Rhapsody or other music subscription services. Various services may embed a code in the file to tie it back to you if it winds up on a sharing site. I don't know if this method would remove that, so I would suggest keeping these files purely for your own benefit.
I was just throwing it out there as a hypothetical situation where someone could have a subscription service and also be able to use their songs as they want to use them. I subscribe to the Zune Pass and I know I have this capability, but I've never actually felt the need to exercise that power.