Sure, for the typical Hollywood blockbuster it has not much value and can break the immersion, but for everything else grain can make you look on a picture, rather than into it. This could be the difference between looking through a window and looking at a painting for example. Additionally grain can emphasize the passing of time. A shot of a still life without grain is something different from the very same shot with grain.
Today it is just another tool in the aesthetical toolbox. And someone somewhere decides when to have it and when not to have it.