The 'ask Lisa' facility on the National Rail website gives the following:
"You asked:
pick up only
Lisa says:
Some train journeys stop at stations to 'pick up' or 'set down' only at stations on the route. This usually happens on long distance journeys at suburban stations, heading towards or away from large cities.
This makes more seats available for long distance journeys, encourages passengers travelling on shorter journeys to use alternative (but sometimes slower) trains and ensures a more comfortable journey for all passengers.
By stopping to 'pick up only', passengers at that station are given additional journey opportunities, but reduces the number of passengers using quicker trains for local journeys.
By stopping to 'set down only', the reverse applies and allows passengers who are travelling on the long distance journey to connect with local services.
If you board a train at a station which is designated as 'set down only', you may be treated as having joined the train without a valid ticket. You may then be required to buy a ticket between the last 'pick-up station' that the train called at and the next station that your ticket would be valid from. Where no break of journey is allowed on your ticket, a new ticket may be required.
If you intend to leave a train at a station which is shown as pick up only, you may discover that the train only stops to pick up passengers if passengers are on the platform - you may find that the train doesn't stop. If this happens, you will need to buy a ticket to the next station at which the train stops."
So in the case of a set down only train, if you got on at that station you could be excessed. What would happen if you held a valid ticket through from the previous pick up station I don't know. However, with a pick up only station you could quite legitamately get off. I don't know whether this is published elsewhere.
There has also been mention of splitting tickets at set down only or pick up only stations. The Conditions of carriage state:
"19. Using a combination of tickets
You may use two or more tickets for one journey as long as together they cover the entire
journey and one of the following applies:
(a) they are both Zonal Tickets (unless special conditions prohibit their use);
(b) the train you are in calls at a station where you change from one
ticket to another; or
(c) one of the tickets is a Season Ticket (which for this purpose does not include
Season Tickets or travel passes issued on behalf of a passenger transport
executive or local authority) or a leisure travel pass, and the other ticket(s) is/are not.
You must comply with any restriction shown on the tickets relating to travel in the trains of
a particular Train Company or Train Companies (see Condition 10).
If you do not comply with this Condition, you will be treated as having joined the train
without a ticket and the relevant parts of Condition 2 or 4 will apply, either to the entire
journey, or from the last station where the train stopped at which at least one of the
tickets was valid.
For the purposes of this Condition, a “leisure travel pass” means any multi-journey ticket
(excluding Season Tickets) valid for:
(i) at least 7 consecutive days; or
(ii) at least 3 days in a period of at least 7 consecutive days
and includes rover tickets, travel passes, flexipass tickets and Britrail passes."
http://www.nationalrail.co.uk/system/galleries/download/misc/NRCOC.pdf
The relevent part is part b, which merely states that the train must call at the station where you swap tickets, not that it must call to both pick up and set down. I think in this case, it would be quite easy to board a train at station A with a combination of tickets, say from A to B and B to C and see that the train to C calls at B without realising that it stops at B to set down only. Similarly, many of the online journey planners if you put the through journey from A to C in will show the call at B as if it were a normal station stop.
As for the point of the late night trains which stop to set down only, I think it is so that the station facilities can be locked up after the previous train has left so that only the alighting passengers have to leave the station before it is locked for the night. From the passengers viewpoint, I can understand the argument that it is nice to arrive at your destination early, but you would surely plan to arrive at the advertised time. There are lots of cases where people would like the extra late night train home, for example I would like the 23:30 Kings Cross-Leeds to pick up at Doncaster.