As the Mega has four serial ports it gives you the option flick a switch and connect the ESP8266 to Serial3 leaving Serial0 for USB comms/programming the Mega. There's also a separate pin header giving you access to the ESP8266 pins directly.
This is either the best of both worlds, or the worst of both. I've got a project coming up where I would like to use a few more pins than an ESP8266 has as standard and I grabbed it for that. It could easily be argued an ESP32 board with all the pins broken out would cover the same ground.
What's the target market? I'm unsure, I guess people who are used to old-school Arduino kit and want to use the ESP8266 in its somewhat old-fashioned role as a Wi-Fi co-processor rather than as the really useful microcontroller it is in its own right.