I think the main purpose of a whistle being tunable is to let you adjust to other instruments that may not be so easily tuned, like concertinas or hammered dulcimers. A well-designed tuning slide just makes this easier.
It also lets you make sure that it's as close to concert pitch as possible, in case you're one of those picky, obsessive types who (unlike me) can tell the difference.
If you start playing without warming the whistle first, it will probably play a bit flat compared to how it sounds after warming up, so you can adjust for that, too, as you go along.
Cheap whistles that have the mouthpiece glued on may be shipped with the bell note (the lowest note) out of tune, which can then throw off the relationships between the other notes. In that case, you can use hot water to loosen the glue, making those whistles tunable, too. However, some are built in such a way that the bell note can be flattened, but not sharpened.
If a one-piece whistle is out of tune with the world, you're pretty much stuck with it, unless you're brave enough to start changing tube lengths and fingerhole sizes.
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