I misunderstood what you meant, I wasn't intentionally changing your meaning. Sorry for that.
Indeed, denying that you never said something that someone is blackmailing you about is useful. But you can deny it anyway. Have you ever heard of a criminal blackmailing someone saying "and I have your cryptographic signature to prove it"? The person that the criminal wants to prove it to would have to also be convinced that this public key is indeed yours. It's not an impossible scenario, but it does seem contrived.
However I know of people being afraid of being blackmailed based on things like text conversations, and whether or not it came down to a signature or not, plausible deniability was definitely a factor in how seriously they took the threat.
If you are being blackmailed by someone, you would find it useful to be able to repudiate the compromat they are using.