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Relevancy. In an article about a geographic location, person, building, etc., located in London, Ontario, Canada, if London and Canada are relevant, then Ontario is.
Consistency. The only reason "London, Ontario, Canada" becomes wikilinked as "London, Ontario, Canada" is usually of laziness, because it takes more typing. This can be seen in articles on world cities with single-name article titles or redirects such as London (England) or San Francisco are usually already canonically linked. It makes more sense to link every component.
Style. The ", " (comma+space) is ugly inside the wikilink.
You may think it's useless, but we think it's useful. See Advantages section above.
The city article will link to the state/province/etc. in the first sentence.
That's still an extra mouse click, waiting for the page to load, locating the link, etc. Not a reason to remove region links.
Some objections seem to be based on the idea of "who would want to click on Ontario?" This is a fallacy born of limited worldview. Assuming you are not familiar with Germany, consider this link: Bevern, Lower Saxony, and compare to Bevern, Lower Saxony, Germany.