Why? Because while it's nice that my LJ client tray icon can turn a different color when there are new friends posts, it'd be much nicer if it could react differently to different friends posting. When any of my friends post, it could change from black to red; when any of my close personal friends post, it could start blinking red; when my girlfriend posts, it could pop up a window. Different responses to different events.
The mask doesn't make the query any more intense on the server. Nor does it increase the frequency of client polling, as long as it takes a hierarchical approach to masking. (Gradually more restrictive masks for gradually more important events.) The only drawback is the the client might poll for a longer period of time, but that's a minor issue; clients can implement polite behavior, or be required to behave politely.
Anyway, I'd like to see this added to the server, and maybe eventually the clients can add features that take advantage of it.