Actually, its the last resort in any situation that is unsalvageable. Hell, their technology is programmed to destroy its self when the operator dies. They have a law against any less advanced species obtaining any form of technology freely, this is rarely if ever bypassed. 

Collective worlds are designed to be powerhouses. Habitat worlds contain massive cities and huge expanses of farmland, Forge Worlds have their surface covered in massive factories, their mantles hollowed out and turned into massive underground production facilities. Hive worlds are covered with the Corruptelae Insectum, a species that follows its hive minds, without which it has a single function "Eat, grow, reproduce, eat, grow, reproduce" As such their surroundings have to be specially catered to. The result, however, is hordes of expendable shock troops to toss at your enemies before sending in proper soldiers. Etc
As you can imagine, an enemy capturing any of these worlds is considered taboo ((Aliens with the capabilities to produce Triarian Battleships?! A simply unacceptable situation!)). Individuals are expected to destroy themselves rather than risk capture for interrogation, and if they are captured the Collective is quick in its attempts to destroy them and their captors. Its impossible to remove all equipment and individuals from a planet on short notice, as a result the easier and faster option is a great big KABOOM!
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I... Haven't had a chance to use it yet. I've never lost a world in game... :(

I didn't think of that. Given the Collectives own over population problems (That sounds evil... Maybe a little too evil, even for them) and their ability to produce masses of Corruptelae Insectum (To give an example of how fast, the Collective had to cap the pop to stop the Queen overpopulating the hive worlds. Unfortunately, their meat is poisonous to all Collective client races but the Umbrae Populus, meaning they couldn't solve their food problem this way) I could make an alliance with this hive mind, and/or redirect it towards another race... Profit, muhaha!