******* ludicrously expensive (it involves Cato Sicarius, a unit of Honour Guard, and 4 units of Sternguard or Vanguard in any combination...all of which are very expensive elite units), but everything in the formation gets +1 Weapon Skill and Ballistic Skill (which is great). However, the main purpose seems to be to use the formation alongside Guilliman, as it allows units in the formation to Look Out Sir! for him. Which things normally can't do, because his 40k version counts as a Monstrous Creature, which are unable to join other units.
This essentially allows you to have Cato Sicarius get shot in the face when your opponent targets Guilliman.
So obviously it's worth it.