In certain cases, doing this would allow the process to handle returning data faster, especially if it was having to communicate with Excel a great deal and there was a lot of context-switching/waiting between the processes and you wanted to favor Excel's processing of the returned data over a background task with high CPU usage.
Perhaps the problem is that pieces of the Excel side were timing-out and causing all the returned data to be lost.
To read more about UI thread boosting in Windows, this article is a pretty good one: http://www.sriramkrishnan.com/blog/2006/08/tale-of-two-sched...