I agree, unarmed hand-to-hand combat is needed. If your soldiers panic, and they drop all of their weapons, they need a way to defend themselves. Also it is possible that the aliens have dropped thier weapons, (like after they're paniced, or after they've been stunned and gotten back up) and you don't want to kill them, just knock them out.
Let's say you KO a commander on a mission first off, you were lucky enough to have him close to the dropship when you arrived and now he's out cold. If you have limited your supply of stunrods, and sent that supply looking for other aliens, the closest soldier may only have guns, and with reaction time in place, he may kill the commander instead of capturing him alive, making you go and find another commander and waiting even longer to advance.