Basically, it gives you a lot more options. For example, you can:
- You can ping the instance (Admittedly, limited use, if you know you can VPN into it)
- You can connect to whatever services it's running directly. For instance, it might be running a webserver that's not open to the internet yet, either because you haven't configured it yet, or it's not ready.
- Also, OpenVPN can be configured to be more secure than ssh. With ssh, an attacker can see that the server exists, but with an HMAC key, you can cause the server to look like nothing is listening on the port.
The simple answer though is that you can use any server, not just ssh. Ssh is a nice tool, but having other tools can be useful too.
Now, just to be clear, this is why having OpenVPN in ADDITION to ssh is useful. I don't see any reason why you should stop using ssh.