I had no Idea you could use this function while selecting edges!
For me, the merge vertices tool combined with snapping is like a live version of remove doubles. I use it to clean up mesh that has been auto-generated or thrown together with either the boolean modifier or the join command. Like a welding machine if you will, to join two meshes accurately at the vertex level.
Watching these lessons though I realised unconnected meshes are not necessarily a bad thing. And the select linked function means they can be quiet useful. I guess you could say merging verticies is great when you want to make one manifold mesh from two or more others.