When dieting you don't want the insulin spike that occurs from a fast digesting protein like whey so you add fats to slow the digestion down and prevent the insulin spike. When blood sugar rises the body's ability to burn fat decreases.
When trying to add muscle and following a non-restricted carb style diet then yes, you would not want fats but more than likely a fast digesting carb source. This is so that you would induce an insulin spike to help refill your glycogen stores. Note that there are many different view points here but this is the common belief...at least the belief pushed by the supplement market
Lastly, many people have shakes as a meal during the day. Again, you don't need the fast acting whey and want to slow it down (digestion wise) and provide a longer acting amino source so adding fats would be a plus here as it's not 1st thing am or PWO.