Why do interfaces have built in effects? Is it for running in a standalone mode?
 
If all I was using it for is to get audio into Sonar, is there any value to having the effects inside the audio interface?

The biggest selling point for these is to use on monitoring mixes to cut down on latency. Although these could also be recorded, I doubt that is a common application, since post production options abound.

Mine only has compression, EQ, and reverb DSP, and I would not bake those in, but other interfaces have more DSP goodies.

The primary benefit is that you can apply effects to the monitor mix when tracking. Singers can hear delay or reverb in the headphones that isn't actually recorded.
 

All the DSP in my interface is also provided with a VST interface for use inside the DAW. I thought that I'd never use them but the reverbs that are included sound great to me and have UI's that I can easily deal with. I assume that the VST plugs are using the DSP but I'm not sure.

Audio interfaces with full onboard DSP (and tablet control) can do "double-duty" as a digital mixer for live use.
 

Thank you all!

It's a feature worth concidering if you work with clients. Myself I don't need reverb when tracking, but almost all my clients seems to demand it. 
You get what you pay for. Look at the price of good quality effects and then the price of your interface and you can quickly see that the little chip they add is one of those processors they stick in budget mixing boards. The same next to useless effects that you can't really tweek very much. 
 
And compression or EQ is useless if it happens after the D/A. Think about it. 
 
In the end we generally have good quailty effects in our DAW so there is no point in using these budget effects going in and printing them. So the best use of these effects is monitoring and adding reverb to the headphones for tracking. 
 
I'd choose good drivers over bells and whistles if shopping for an interface. 
 

I have a motu828mkII plus a focusrite 18i20 for i/o extension, and so +1 to all the above.. the DSP allows for offline mixing, FX, and lots of busses.
 
1. Live mixer... synths, mics, drum machines can all be used with the computer turned off with no cable rerouting
2. The # of busses allows for individual headphone monitor mixes for vocalist, guitarists etc.. each with reverb/compression as required without affecting the dry signal.
 
 

Really helpful when tracking vox.  I usually track vox last, and I have a ton of tracks and can't run low latency, so the onboard DSP comes in really handy to hear verb in my cans then add the real later.

sven450
Really helpful when tracking vox.  I usually track vox last, and I have a ton of tracks and can't run low latency, so the onboard DSP comes in really handy to hear verb in my cans then add the real later.

This is the primary situation where I can see having onboard DSP effects as an advantage. When you have to increase your buffer size due to either track counts or CPU issues. There are other workarounds, though.