I don't see a huge benefit in setting the state of an entity to Added since creating a new entity and adding it to the set does exactly that like you mentioned. Where this type of pattern is pretty useful is when you want to delete an entity without having to fetch it from the database first:
// this entity will be unattached at this point, so if you were to call remove
// on the dbset it wouldn't do much, since it doesn't think it's in the database
var deleteThisEntity = new Blog { Id = 5 };
// if you set the state to deleted, it now thinks that it needs to be deleted
db.Entry(deleteThisEntity).State = EntityState.Deleted;
// call SaveChanges to delete
db.SaveChanges();
You can get a similar effect by setting the state to modified, so it will trigger an update statement. Sometimes you just don't want to take the extra hit of fetching an item from the database just to delete it.