If you have ever force removed a valve from a pressurized cylinder (I don't recommend this) you are happy to have a hole in the threads that whistles and carries on. It's a tattletale to remind you that the valve isn't stuck, it's pressurized. Or, if the valve is actually stuck shut, it allows you to take the valve out a couple of threads to depressurize the cylinder. This is of dubious value, as the valve would probably come apart before you got it to back out, taking out the burst disc is a way better option.