I can think of two scenarios where this security feature is helpful.

First, somebody breaks into a server room, replaces the motherboard with a compromised one, and notices mid replacement that they forgot a processor. (Since the processor locks during first boot, it is of no use if the supply chain is compromised before the first boot. On the other hand, I would imagine somebody willing to break into a data center to replace a motherboard would also be willing to do all kinds of other shenanigans, like bringing another processor.)

The second scenario is, somebody thinks about buying a used instead of an new processor.