Is there ANY advantage to using this dedicated folder to store my music or is it just something Microsoft put there for no reason?
Microsoft usually doesn't do things for no reason.
My Music is a folder configured to hold files of type "music." Just like your My Videos folder is configured to hold files of type "videos." By doing so, Windows will display the folder contents with a view that is conducive to viewing the type of files it contains.
For instance, the music folder will show details about songs - artist, play time, etc. This would not be necessary on a folder like My Documents.
In addition, these are special folders that most programs recognize and count on to be present. Windows provides a mechanism for programs to identify the special folders regardless of what they are called, or where they are stored.
You can change the type of files a folder is configured to hold. How to modify your folder view settings or customize a folder.
But you cannot change the type these special folders are configured as. In addition, there can only be one special folder of each type per user.
It would be a bad idea to remove any special folders, because, as stated previously, programs expect them to exist and will use them accordingly.