The gains from this tip are twofold.
Firstly, if you want to play a purchased module without having to modify every encounter to make it survivable, consider starting out at a higher level, or with some bonus experience or skill ranks, depending on how your system of choice works. I am playing with the W.O.I.N system at the moment and it used career grade as a cap to how big your dice pool can get, and it is typically set to 5th grade and 5d6. There is no reason to not let you solo character go to 6th grade and have an extra skill dice or ‘exploit’ and attribute bonuses and have their dice pools capped at 6d6. It will make the game a little less dangerous, but not by much.
Is it really going to break Keep on the Borderlands if you started at 3rd level, rather than having 3-6 characters at 1st level? If you went in looking to fight you way through you are going to end up just as dead!
The second benefit is for those advanced adventures, iconic foes, or deadliest of monsters. If you want to take on Smaug in individual combat or make Asmodius cower before you, you are not going to do that as a starting character, and adventuring from 1st to ‘OMG what level?’ is going to take an extremely long time. If that is the game you want to play, why not start there and play the game you want to play?