Off the top of my head, I think there's some niche use in embedding shaders so that they don't need to be stored as strings (no IDE support) or read at runtime (slower performance).
It's a crutch, but at least you don't need to stuff the shader into multiple "strings" or have string continuations (\) at the end of every line. Plus you get some syntax highlighting from the embedding language. I.e. the shader is highlighted as C code, which for the most part seems to be close enough.
[1] https://github.com/phoboslab/pl_mpeg/blob/master/pl_mpeg_pla...
Thanks, I'll remember to use that in my future shaders