The main idea behind a feeding station is to keep the food in one location as opposed to the food blowing around the tank. Doing this allows you to monitor each seahorses food intank as well as keeping food from getting lodged throughout the tank and rotting away thus deteriorating water quality.
Quite often you can catch illnesses quickly (such as a weak 'snick', not eating, etc) just by observing your seahorses gathering around the feeding station and noticing one of them is acting differently than usual during feeding time.
Tom