A fairly regular journey of mine is Clapham Junction to Canada Water, which is served by direct LO trains. However, even if there is an LO train about to leave CJ's pfm 1, it's still significantly quicker to cross the long footbridge from pfm 1 to 10 there, wait for a SWT train to Waterloo, make the fairly long interchange to the LU Jubilee line and travel to Canada Water that way! LO is excruciatingly slow on this and many other of its routes.
Of course there are probably many journeys where the infrequency of direct trains means that a faster train that misses one's destination station, followed by a return hop, is quicker than waiting for the next direct train - another of my regular journeys is Dorking to Betchworth, when it is often quicker to go via Reigate on a Gatwick (semi-fast) train and travel back than wait for the two-hourly off-peak train. Searches on National Rail site bring up this journey option too.