For my car at least it lubes the injection pump. ULSD doesn't have the same lubricity as old LSD used to, so I need to make sure all the expensive parts stay lubricated. I know guys that add in a bit of BioDiesel(B20,B50) to each tank with the same effect...
All depends on the type of diesel though, the new common rail engines found in the new TDI's are completely different beasts then the Bosch VE rotary pump engine found in my car I wouldn't recommend adding in premix with those engines (They don't need it)
BTW, my TDI is at 553,000kms and running stronger then ever