Aux Tracks aren't really needed for most typical functions. They come in very handy when you want to try creative or atypical things.
Say, for example, you want to use a wildly exaggerated compressed & EQed reverb on the main vocals as a filter into a Synth or LFO. (I know, who the heck wants to do that?! But bear with me LOL).
Without Aux tracks, that is difficult (maybe impossible?) to do.
With an Aux track, you "record the effect" and then you have the audio for additional after-uses AND you then can reset the effects parameters on the vocal track back to normal settings.
I've used an Aux Track to record audio from one track that I heavily filtered and then used that Aux Track later in the Drum Replacer and with AudioSnap.
So Aux Tracks and Patch Points are tools for tapping into (or patching into) streams of audios that the recorder wouldn't normally be able to access or record (such as outputs of effects etc) without creating & duplicating many other tracks.
They have a slight advantage over busses for SOME things since you can visually group an AuxTrack right near another track. (In Sonar, Busses must always be in the Buss window.)
I hope this helps... I also hope Cakewalk University or Craig Anderton posts some examples of other useful things we can do with Aux Tracks.