Personally, I like my veggies cut large enough so they can be placed directly on the grill. I like when they get a bit charred. With that being said this is very similar to the baskets that have been available only the baskets I've seen are square-ish while this one is saute pan shaped.
But, I agree with the "sure, why not"
It certainly would be easy just to "toss" them and it would take up much less room. When I grill veggies it takes up the whole grill and has to be done after or before something else is grilled - takes a LOT more time.
...plus, I like the look of this "pan"
And actually, you may be able to use it on a gas stove to roast peppers or jalapenos.