I've wanted to do that a few times (but wasn't able to at the time, because I always forgot how when I needed to...).
An example would be if you want to have two pickable representations of the same object - particularly if you want two geometries of different types; like a nurbs curve and a polygon sphere. Or if you want a simple way to ensure that two geometries share the same space for rigging reasons - without depending on a fixed parenting structure.
Also, if a hybrid object with many geometry types is going to be instanced a lot (like in a particle flock) it would be a definite advantage to reduce the total number of transforms by keeping polys and nurbs in the same space.
While I can't think of any situation where multiple shape parenting is essential, I'm positive that the ability has niche applications, if only for an interface-aesthetic or simplicity reason.
edit: also, come to think of it, it would be great way to impliment LODs