The "Attack Natives" button is basically a "click this if you are a noob" button, so I'm not sure why it even exists.
The only scenario I can think of where you'd want to kill the natives is if you for some reason didn't have an army to manage them, in which case the button isn't even an option for you anyway.
Now that I've discovered this button, I can't really imagine using it much. But I can imagine one minor scenario - it's fairly early in the game, such that a super aggressive stack of African natives still requires a few thousand of my troops to deal with. So I've left a stack of maybe 6 or 7k there, just to be sure. Now suddenly it's major war, I'm broke and at FL, and I really need every troop I have. So I want to move that stack of 7k out of the colony and put it to use in Europe somewhere. So I can imagine clicking Kill Natives to wipe them out so I can safely move that stack elsewhere.
But this is a really occasional, niche usage - especially because after about 1550, I could probably wipe out 8000 African natives with just 2k toops, and I can't ever imagine being so desperate for troops that I couldn't leave 2 or 3k there (or rather, couldn't imagine being so desperate for troops, AND 2-3k actually making much difference to my fortunes.)
But hey, it's nice to have more options, and if it makes noobs feel safer then fine

I do think though that Attack Natives button tooltip should be updated to mention that killing natives reduces base tax permanently.