Why should I hatch Tallbird eggs?

The only real advantage of the smallbird and smallish tallbird is that some mobs don't run away from them. Birds like crows, redbirds, etc. won't fly away from them, so the smallbird can be an easy source of feathers and morsels.

I guess you could also herd them into a pen, and have your own tallbird farm.

So, to answer your question: as near as I can tell, the value is fairly limited.