"[sic] What use is there for being CLS compliant?"
Medium trust, ClickOnce, running from a shared network drive, guest profiles in a domain setting, etc. There are lots of security situations where your code cannot run if you break the CLS Compliance.
I have personally seen a lot of situations where users are trying to run their application from a shared network drive and can't because the local admin has killed non-CLS compliant applications in the security profile.
In general, there are usually ways to work around the issue anyway. I would take the opposite approach to the comments above, why break it? You are writing managed code, why would you want to limit your application on purpose?
I would say that if you are building an API assembly or component, you should always adhere to them. Too many third-party components take the easy way out and just flag them as broken when attempting to run from medium trust. In some cases, this is the only reason they can't run. If they had taken a little more time to adhere to the guidelines, users would not be limited as to how they can use their component.