People don't always have full control of their devices - I can't install arbitrary software on my work machine, for example, so a VPN back to my house isn't possible without a tool like this. This applies for appliances (eg, media streamer) where you can't install a VPN but want to access content from your home network.

There's other reasons too, such as not having to configure arbitrary wifi connections on your devices, as well as making sure there's zero traffic outside the VPN (eg, during the initial few seconds before an on-device VPN connects).