Every minute of gameplay helps your players improve by giving them more game experience - exhibition games are no exception. In addition helping player improvement, it's also a great opportunity for coaches to experiment with different lineups with your new freshmen, depths, tempos, etc. It should also be noted that exhibition games are the only games players can play in and still be redshirt.
Other possible reasons could include the desire to take on a buddy in another conference, or perhaps you want to see how your team stacks up with the elite programs in DI.
The only downside to playing an exhibition game is that you always risk having a player go down with an injury (Note: Injury logic is very low inside Hoops Dynasty).