Web browsers enforce preloading by considering each domain as having HTTP Strict Transport Security (HSTS) set, and so it gets the strict treatment: only https:// connections, and no clicking through certificate warnings.
Some more detail on all this here: https://https.cio.gov/hsts/
The one downside of includeSubDomains is that, with dynamic HSTS (without preloading), you have to get the user to visit https://agency.gov to "see" the HSTS header once to get that coverage. Visiting https://www.agency.gov or http://agency.gov won't do it.
So another benefit of preloading is that you remove that problem from the table -- browsers will enforce HTTPS for all subdomains, even if the user has never visited the root site. It's a powerful tool, and there is no analogue for other protocols (like IPv6 or DNSSEC) to set policies for an entire zone that you can expect most clients to enforce.