You wouldn't keep it there, but because of the regional market segmentation, PLEX might be 550mil ISK in Jita and 620mil ISK in nullsec somewhere, so you decide to buy a bunch of them, transship to the higher selling market and make a quick profit. Unless you undock from Jita 4-4 and get blown to pieces.
You don't have to ship it yourself, as you could run a courier contract, but they can get stolen and if you price the collateral high enough to not make a loss if they get nicked, then the chances of someone taking the contract up diminishes because of the not-able-to-dock-in-the-delivery-station scams making massive collateral contracts suspect.