Hi Greg,
I am sure others might chime in on this, and perhaps there should be a new thread for the discussion. However there are 3 benefits that I can think of just now (aside from the side benefit of a secure head when using the hot needle).
1) Like on large flies and streamers, I like head cement on most flies so they look good (smooth and shiny) and in the case of mayflies, a little bulbous. I use a fine needle stuck in a cork to apply the cement/lacquer.
2) Head cement obviously binds the threads, and works best when it is thinned. I use fly shop head cement, and thin it with Sally Hansen?s Lacquer thinner which comes in a 'nail polish' bottle with a small 'syringe' to take the thinner and put it into the cement. You can also use Sally Hansen Hard as Nails and thin it. The main point is to have the cement thin enough that it penetrates the thread (thus binding everything together) rather than just sitting on the outside. If you want a really smooth head you can put on a second coat.
3) Head cement also helps in the construction of the fly, especially fragile materials like biot bodies or squirrel wings. For the biot bodies put some on the thread base before the biot is wrapped. For squirrel wings (for instance) put some on the butts of hair after only a couple of thread wraps to secure the hair prior to further wraps.
Cheers, G