IIRC, I read or heard a comment attributed to the Cohens, the jist of it being that they kept the scene because it showed several aspects of Marge's character quite well.
Quite likely there's more than that, too. Personally, I think that scene grounds the film nicely, and even acts as a microcosm of the reality in which Fargo's story unfolds. Think: in any other movie that scene would've turned out much differently, with sexual tension or high drama, nostalgic reflections of days-gone-by or what-not. Instead it is dealt with in a very subdued, even bleak fashion; the poor bastard just breaks down crying. The same goes for the film's central kidnapping plot, characters, even the portrayal of violence; they are by turns shocking and pitiful, but never larger-than-life. They don't exist in the standard movie "reality".
Just my opinion. Great, great film.