I think one good reason to grow peonies is that you can. (I think this comes under species diversity that Dave mentioned earlier in this thread.)
They don't grow in Alabama. The one's Ive tried that are supposed to grow in Zone 8, don't. We can't grow tulips or lilacs, either. So I think there is good reason to grow the plants that are most characteristic of an area (some people call these natives--but with the shifting zones now and to come the plants specific to an ecological biome are important to preserve.
I can't grow peonies, but I hope someone in Zone 4 or less will.
On the other hand, permaculture is a great strategy for incorporating micro-climates to grow marginally adapted plants. Here in zone 8 we grow figs, but they do best only if planted against the south wall of a stucture to reflect the most heat and sun.