This would be useful in many different scenarios. Here is one scenario:
Player 1 notices that Player 2 is online. Player 1 PMs Player 2 asking if he wants to play, and gets a response from Player 2.
Currently (in most cases):
Player 1 PMs Player 2 asking if he wants to play, but he doesn’t know if Player 2 is online or not. Player 1 doesn’t get a response.