It provides a nearly constant current over a wide range of supply voltages. It is very convenient to test a lot of LEDs of different colours and voltage ranges with no danger to the LEDs.
Step 1: Identifying LEDs and testing
If you play around with LEDs a lot, you might know the problem. When you have a hand full of ultrabright clear LEDs the principally all look the same.
You don't know which color it was or how much light it emits.
You might use a 3V button cell, but for some LEDs this is not possible, like the squaresized superflux LEDs with the short legs.
So this small device gives you the possibility to test out the LED right before using it in your design.
And it is also a check for polarity. I once bought a whole bunch of LEDs whose Anode was the short leg. Guess how long it took me to find that out!