The only example I can come up with is that I want lock screen on my smartphone to be like sleep mode on my PC. That's how it was in WP 8. Wi-fi was automatically turned off on lock screen. The brokanics fixed that in WP 8.1.
So, do you want to turn off the cell radio as well?
Wifi does not always searching for signals in sleep mode. In fact I always leave it on on all my phones, WP or Android (both now defaults to on while locked). The OS is pretty smart to conserve the battery.
The advantage of leave wifi on (which is recommended on both Android OS and WP8.1) gives you much more accurate geo location without turning on GPS. This makes a lot of apps that relies on geo tracking or geo fensing very useful.
Not to mention, you can actually sleep soundly that your phone won't suddenly suck down GBs or cell data while your sleeping because wifi is turned off while sync emails or facebook. That's a real problem with old WP7x and 8 before GDR1.
As mentioned above, PCs now behave like phones as well.
I have no idea why Microsoft removed option for Lumia phone though. It is always good to have options.