The performance for certain workloads may be better, mainly for large bulk transfer. More details are available here:
http://www.vmware.com/resources/techresources/10075
These numbers are for vSphere 4.0; for 4.1 the Windows performance was improved, but there is no official performance study for 4.1
Another possible use case is communication with VMs that may not have networking at all, e.g., access to VMs used for testing network protocols/filtering.