The Wasteland is effectively a border. Borders are worth guarding always all the time, no exception.
believed to be empty of any threat worthwhile
If you only believe that then I assume you don't have satellites or planes to tell you, that no expedition came back and that it is uncharted territory at your level of technology.
"Nobody would come from there" is perfect for the Famous last words trope (I'll spare you the tvtropes link, you know there's one). Great generals throughout history have demonstrated an ability to make the best of areas deemed impracticable, it would behove any military worth its salt to maintain a presence in such an area as part of an advanced warning system.
The fact is you don't know what lies beyond. Could be nothing. Could be there's another kingdom watching at the wasteland wondering what's on the other side. Could be there's a great evil centimetering closer unbeknownst to you. You don't know. So you build series of towers for two men to keep an eye on the horizon and make sure the wasteland is indeed void and empty.
The heart of that system is a big fortress. It's a big fortress and not some crummy old cabin for a variety of reasons:
Maybe you have something to prove. Maybe you have something to compensate for. Never underestimate hubris as a motor for human ingenuity.
Maybe it's an old fortress built there for some reason, maybe as a starting point for expeditions through the wasteland (the ones that never returned). Or maybe your built fortresses to mark the land and this one just said "I own the place" and now you're stuck with it.
Maybe it is intended to host an army. If you have to send your men to defend the borders, that would be your command post. It probably beats a field camp, and your predecessors probably had a good reason to prefer that.
Maybe it does host an army. As the command centre of your alert system, this is your first response force. There probably isn't enough of a force to kerb any invasion, but even if they get ganked they will delay the enemy just enough. Of course, you don't tell them that.
Whatever reason, the fortress is there, and you keep it because you can only impose your law as far as you can reach, and this is proof you can reach this far.
Others have pointed in various answers the training grounds aspect of such a location, and I can only agree. It's harsh, which will weed out the weak. It's remote, so it won't interfere with the operations of your dominion. And it if does get ganked as aforementioned, you only lost the most inexperienced part of your army. But again, you don't tell them that.
It is also, as others have pointed, a place where you can do whatever you feel like. Dump dead bodies, test nukes, keep alien artefacts, field test new equipment in extreme weather, conduct experiments on live subjects and as always you don't tell them that. The possibilities are endless for less-than-moral activities you can conceal in the middle of nowhere.
You might consider it as a prison for your rivals, but just do yourself a favour and throw them in a river instead. You know they will escape and plot against you by assuming the identity of some dashing lad or ugly bum or something. You're only allowed to be that genre-blind if you are the villain of the story.
In any case, your veterans might view the post as some easy assignment, where nothing happens and they can toy with the new kids, and they get paid for it. Younger soldiers dread it as the end of their career, away from any action, excitement or adventure.
In the future, people will find their way through the wasteland and back. We'll know what lies beyond. But the fortress will be long decrepit by then. Maybe your successor will bulldoze it and build a wall instead.
But as far as you are concerned right now, it's a point on the map that completes the circle around your territory.