Why is there a provision of pressure setting in GPS?
By either manually entering the indicated altitude, total air temperature, barometric pressure, etc., or feeding those variables via sensors connected to the GNSS unit, it is able to know the true airspeed, wind direction/speed and the head/tail wind components.

Very useful for knowing the performance in-flight.

Example interface for the Garmin GTN 650/750 series with software 4.10: