Actually, the most common reason I know of for doing this is to avoid cavitation. Nitrogen gets used when the fluid may be harmed by oxidation.
All the pressure does is artificially raise the static pressure in the system. Since cavitation results from too low a static pressure, it is an effective means to prevent it.
In water cooling systems, you can get the same effect with a vented reservoir that keeps the water surface well above the pump intake.
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