Every game played helps your players improve by giving them more game experience - exhibition games are no exception.
In addition, it's also a great opportunity for coaches to experiment with different lineups, depths, tempos, etc. Those are the logical reasons to play exhibition games. Other possible reasons could include the desire to take on a buddy in another conference, or perhaps you want to see how your team stacks up with the elite programs in DI.
The downside to playing an exhibition game is that you always risk having a player go down with an injury.