A fairly vast buffer zone against the Axis hordes, all in treacherous terrain where supply will be tenous at best for an attacker vs. a tenacious defence, in a front that in previous versions of the game showed itself to be so unbalanced that an Axis player could win the game by simply taking this route, as opposed to any great displays of skill whatsoever.
(How's that for a run-on sentence?)
This is absolutely vital.
The prize at the end of this roud for the Axis player is the oil rich Caucusus area. Taking Baku (likely the first target of opportunity for an Axis player taking this route) carries with it the bonuses of a +4 to Axis supply, and a -4 to Allied supply, activating Turkey (a land link to the Euro front), new units (armor, I believe?) extra equipment being released to your replacement pool (late war armor?), a great chance at a potential front-line landlink with your Euro front forces, and last-but-not-least, the little 'burp' that so nicely assists you in making it to the next of these bonus hexes, Grozny.
Now, Grozny doesn't give you the same jackpot as Baku, but it still releases 'signifigant equipment' to the replacement pool. (Also late war armor, iirc). Another sweet little burp to push you onwards to:
Maikop. The last of the targets. This also releases 'signifigant equipment' to the replacement pool (guess what type of units?), and makes almost certain a link with the Euro front. From here, it's just all gravy.
The Russian player cannot let this happen. Putting a formation or so down in Iran will buy a good deal of time, and the defender has a decided advantage.
Hope this helps.