In what situation is Last Word really relevant?
Player A casts a spell that essentially reads "You win the game". Player B casts Last word to counter it. Player A has 20 counterspells ready, but they won't save his game-winning spell.

Last Word's uncounterability is less useful if it counters another counterspell because, as you say, the opponent can just target the original spell. But if the opponent is the one starting with the valuable spell, Last Word all but guarantees that the valuable spell gets countered.

Also, there can be many different variations of counterspells with various restrictions and benefits. If Player A casts any creature spell, and player B has Counterspell and Negate, player B has to use Counterspell. If player A protects their creature spell with Last Word, player B's Negate is useless because it can't target the creature spell.