If you have a 60Hz display and the game is locked to 60fps, when you take an action it may take up to 16.67 milliseconds for that action to register. If the game is running at 500fps, it registers within 2 milliseconds, even though you won't see the action for up to 16.67 milliseconds later. At extremely high levels of competition, this matters.
Also, there are 540Hz displays.