Rick Desper has pointed out that the example given isn't quite air-tight. There is another order which can be given to Venice to prevent Piedmont from supporting it to hold. Venice can be ordered to Albania via the Adriatic Sea. The convoy will fail since the Adriatic Sea isn't ordered to convoy, but any support of Venice will still be rendered void.
This development doesn't change the fact that it may be useful to order a unit to move into one of your own units which is supporting something else. It merely means that there may be other ways to accomplish the same thing. (In fact, the whole example can be moved inland to avoid this loophole.)
On the other hand, I have found an entirely different example which illustrates a different reason why such an order could be useful....
