I pierced mine when I was dropping out of a Christian high school and wanted to make sure I couldn't go back and change my mind. It's a little stud (well, screw, technically), not especially ostentatious. I like how it looks, and I've had it so long now I don't want the hole to close kind of on principal. Dunno why other girls get/got theirs.
It doesn't make allergies worse, actually, BUT if I take it OUT, my allergies can feel a little worse. I've had a friend with her nose pierced say the same thing. We concluded it's because there is then one extra hole for allergens to get in, even if it's a very small one.
Also, Lit, I'm kind of surprised you're not into facial piercings. Nose piercings themselves are so commonplace that I don't they they signal much of anything in an of themselves, but piercings in general are a part of the aesthetic of a lot of scenes that have huge overlap with the kink scene (which is sort of unfortunate and which I have learned through trial and error I need to compensate for by wearing "normal people clothing" on first dates).