Does anyone have an example where it really is useful considering the alternatives we have with roofs and/or other objects?

Yes. Consider that there is a multi-level house (block house) or even a single level house with few rooms.
The roof could be (or not) at the last upper level.
At all levels you could set the ceiling color/texture for each room without having to make or use other objects instead.
But probably I'm misunderstand again confused

Yes, I think you misunderstand. Of course the top room can have a sloped ceiling but not the rooms on lower levels. That would make a really strange room above the sloped ceiling [:))] .
But considering it's the top level where you would need a roof there is no longer a need for a ceiling since the roof provides the ceiling.
I just wondered if there is a (strange?) situation where the sloped ceiling is still useful because I can't think of one. Of course the flat ceilings remain as useful as before.
[hr]By-the-way, what is the difference between normal windows and the roof windows? Only that they are created horizontal or is there something else you did?