The general need for this is, e.g., if you have a Hardware MIDI Sound Module (e.g. SoundCanvas, NORD piano or rackmount, etc...attached through...say, a MIDIMan interface) and have a USB keyboard that you want to use to play that module...AND, you don't have a DAW to route through (or don't want the trouble).
That is where Soundigy shines...I'm not aware of any other software that just allows you to connect the two devices that are attached to your computer.