-it's a visual reminder of why a thread might seem disjointed from removed content, sure you can notify participants with the xF system but what about new arrivals, etc.
-everyone can see that John Doe's post was removed because of "personal attack", this can be a form of 'name and shame' and actually be beneficial to modifying bad behavior.
-conspiracy minded users can't make claims moderators are disappearing content haphazardly or for a personal agenda. This adds a level of accountability.
Seeing as admins and moderators can see the deleted marker, maybe it is not a difficult add on to allow all members or selected usergroups to also view it. Only the marker showing it was deleted and reason, not the actual content.