As long as something exists, I think someone will ALWAYS find a "reason" to make use of it, regardless of how impractical or unnecessary it is. I've used most roleplaying game dice, from D4s to D30s, D100, and rolled three ten siders for D1000, though there are precious few rules or situations that need numbers along these lines.
The only thing I can think of offhand would be for town populations or number of insects in a giant swarm or amount of gold or something. But still, the range of 01 to 10,000 is simply far too wide to be useful to anything I can think of, because most things that go to 10,000 generally don't register meaningfully for totals very much lower, such as 6 or 7000, let alone the single digit "1".
The point of the D100 is to emulate "chance" or at least the human equivalent framework, where if you have a 25% in something, it is out of 100, and any dice roll of 25 or less on a D100 is successful. You don't need a die with a tens digit (like 10, 20, 30, etc), you just need two normal ten-siders that are different colors, and you can generate a number between 1 and 100.
Same for D1000 or bigger, all you have to do is have different colored D10s, so you'll know in which order to read the dice after they are rolled - the larger the maximum number you want possible, the more D10s you add.
The potential for D10,000's have existed since polyhedrals were invented, as you need only roll a certain number of D10s and read them.
1D10 = 1-10
1D100 = 1-100 on a 1D100 die (round, about the size of a golf ball)
1D100 = roll two different colored dice (or even just one, right after the other, keeping track of both rolls and which was first). The first roll or first color (say you rolled red and blue); you announce BEFORE YOU ROLL which is the "lead" or "tens" die, so you read your lead die of 7 as 70, and the other die regular old 1 to 10.
1D1000 = roll three D10s of different colors. First die is the hundreds digit, the second die is the tens digit etc. So if you roll a 7 on the first die (hundreds), a 3 on the second die (tens) and a 3 on the last yields a result of 733.
1D10000 = as above, you simply need the right colors and decide which dice represents which mathematical multiple.
Honestly, whether it is this, sold as a novelty set of dice with the appropriate numbering on the faces of the dice, or your average gamer rolling a handful of D10s and reading them numerically instead of summing them, I simply cannot call to mind much that this die type would be needed for.
You guys are forgetting damage to structures. In one of the manuals it like tells you how much hit points a wall has or like a keep or something. So if there's like seige and they're using a flame thrower the damage will be different.