No benefits at all that I can think of. Assuming that you have a
domain, workstations are members of the domain and users log in to
their workstations with a domain account, then creating (and
maintaining!) a duplicate local account for users on the TS is a lot
of extra work, without any benefits that I can see.
The only thing that you have to do is to specify a Terminal Server
specific profile path for each user in User Manager for Domains (this
must be done on the TS, since you won't see this item in User Manager
for Domains on a standard NT 4.0 server.
If your TS is not NT 4.0 TSE, but W2K, you can still run musrmgr.exe.