In a nutshell:
Politically, it was to protect the pro-Union Wheeling Convention that ultimately led to WV statehood.
Strategically, it was to protect the lines of communication between D.C. and the west: the B & O Railroad at Grafton and river traffic on the Ohio River.
Militarily, there were two invasion routes from Virginia to Ohio: the Stanton-Parkersburg Turnpike and the Kanawha River. McClellan's victories at Phillipi and Corricks Ford blocked the Turnpike route and Cox's campaign up the Kanawha River closed off the water route.