It kept the speaker on at first so you could hear if a human answered the phone, or got some network message like "all circuits are busy". It muted once it had a confirmed modem on the other end.
It used to be useful to me back when my ISP had 28800 bps and 33600 bps capable modems in their pool, and I had a 33600 -- I learned to hear from the handshake when I hit one of the slower modems and would then immediately hang up and try again until I got one of the fast ones ;)
It was pretty useful in my experience because sometimes the line you called was busy, sometimes a human answered instead of a computer, and sometimes a computer modem just didn’t pick up for whatever reason. Hearing the dial & handshake was a way to know what exactly went wrong when you weren’t able to connect. BBSs didn’t have this problem so much, but it happened often enough when modeming with friends or with small businesses that didn’t have a large modem bank and a lot of lines. Typing the wrong number was common. I also remember experimenting with robo-dialing with my childhood friends, calling through a list of numbers, like in War Games, looking for unknown computers to connect to.
You could turn it on by sending the correct Hayes command before connecting. It's really annoying! And it can't be turned back off again until you disconnect.