Some programs are designed specificly to use the page file. They do it for performance reasons, I guess.
If the page file isn't there then they crash. So MS doesn't let you turn the file completely off because it will make bad things happen to your computer.
Sometimes programmers put some memory managment into their programs. For instance you may have some peice of data that you need to access it quickly, however you don't need it very often. So putting it into RAM would be bad because it would take up to much space and slow other things down, but eliminating it out of RAM would cause it to have to be read over from the disk, which is very slow. By sticking it in the page file it makes a good comprimise because it's faster then reading it from a file, but keeps the RAM cleared for more important things.
If the program is hard coded to do this and the page file is missing it will try to stick the peice of information in the file, but since the page file isn't their, then the program panics and simply crashes. It can't do it any other way.