In Emacs the shell-mode allow me to use the shell as any other buffer, with random access and scrolling. I can cut and paste stuff just like in any other text buffer, manipulate the output of my session to save it to some file / send it to someone else, etc. IDK how it is in nvim but I'm quite pleased with shell in Emacs, can't go back at all. Though if you're using tmux or maybe screen you can probably do similar things.
If you're asking what good is a built in terminal, well, there's plenty of scenarios. One I'm facing right now is using GVim on Windows. Have you ever seen what happens when you type !dir in GVim, right now? It's really ugly.