This is necessary, for example, to measure effectiveness of online lead generation activity.
Say you run an online ad to attract new visitors to your website. Say it costs $100 per month and you want to track how many clicks it generates, and attribute future sales to the ad. Sounds just like a Program? The standard setup even has a status called "Online Advertising > Clicked".
New visitors, however, can never get to this state, because Marketo rejects anonymous leads being added to Programs.
Even if your lead goes on to place an order, since they're not in the program, the sale isn't attributed correctly.
Marketo tracks anonymous leads by placing cookies on their browsers so it can monitor repeat visits, etc. Let's allow anonymous leads within Programs, then we can see within Marketo which of our ads are worth the money.