If I place, for instance, the following component and click it, it behaves as expected:
If you have lots of ajax requests on your page then ajaxifying the command button's request mean's that all other validations (from other ajax requests) on the page will complete before navigation to the next page. Otherwise without the ajax request for the button the http request that it generates will blow away these other requests and just navigate directly to the next page without waiting for them to complete.