This feature also enables a scenario where you may have someone working on a new skin, they can email a link with the preview to any stakeholders that may need to approve the design before making it the active skin.
Note also though that the skin you use often affects how you define the site hierarchy, not all hierarchy arrangements are suitable for all skins. For example if you start out with a vertical menu you may create a lot of root level pages because you can fit a lot of root level pages in a vertical menu. But then if you preview it with a skin that has a horizontal top level menu, then there may be too many pages at the root and they don't all fit in the horizontal menu. When changing from one to the other you may need to re-arrange the hierarchy to be appropriate for the given skin. So there are limitations in terms of how well previewing really works across all skins.