A penetrating hit is a chance at disability. If it means reducing defensive fire, lowering speed, impeding retaliation, or even just convincing the target to stop for repairs after destroying your fleet, it is all good. Now, granted, actual disability is far from certain, but the difference in potential between armour damage and component damage is huge.
9 8 7 6 5
***** ***** ***** **** ****
*** *** ** ** *
*
Against armour of one, they all do okay. 5 is pretty inefficient as far as mass to actual incapacitation goes, but given the amount of armour removed, it will probably be doing full damage soon regardless...
Up the armour to two and only 9 penetrates immediately. A repeat hit nearby benefits from the extra point of damage, but basically, only 9 does damage the first time, and any of them can penetrate on a repeat strike.
At three nothing penetrates initially. Repeat hits favour 9 heavily though. It has a full V points over which it can penetrate with a damage profile of (3,4,5,4,3) damage depending upon how close the repeat is. 8 can also penetrate on V points, but the damage profile drops to (1,2,3,2,1) which means that it is doing about half(probably less*) as much on the early repeats. (*ugh, fine, (2*1/3+2*1/2+1*3/5)/5=.45333... so a little under half the damage of a 9 warhead on the first penetrating hit to an already damaged point, when averaged.) 7 and 6 drop to (1,2,2,1) and 5 is a sorry little (1). Stripping the armour is great and all, but 9 really dominates in its odds of getting an early bonus. Sure, any of them can penetrate on a third repeat, but every required repeat is an affront to the law of averages.
At four armour everyone else requires a third repeat to penetrate, while 9 still has a quite decent (2,2,2).
Six armour puts 9 damage into the realm of a third repeat to damage, but it can do up to (3) penetration with a lot of luck, while everything else is doing (0) at that point regardless of how lucky they are and 9 can still do a little penetration with less-than-perfect repetition.
Multiples of the current depth are good, so 2,3,6,8,12,15,20,24... are all valuable, but the difference between the latter and a square number is always precisely 1 damage, and missing out on the square is just not worth it. The cost difference between 8 and 9 is too small to justify choosing 8 and the damage difference between 6 and 8 is too small to justify going up to 8. 7 is just an embarrassment, nobody wants to talk about 7 and 5 is the same.
Now sure, if you are vastly superior to your foes, and thus don't care about weakening their performance early in the battle, then fine, you are probably just going to erode their ship down to nothing regardless so penetration isn't an issue, but squares(and, to a lesser extent, the next multiple of the square root) have a very clear theoretical advantage where the benefit relative to the invested resources is noticeably elevated... Now, by all means, it could well be that there is some vital consideration elsewhere, perhaps the difference between two opportunities to destroy your missiles instead of one, so significant warhead sizes are not always the greatest consideration, but dismissing them just seems like folly.