Yeah if you build multiple damage items it is a DPS lost, but the benefit is you can back up out of auto range while casting it, and the slow helps you chase or run away.
Usually if you are ahead you need the slow to help you get kills, and if you are even or behind you don't' want to just keep continuously autoing, you want to go in and trade when you have your Q up and can get a sheen proc. So you Q1, W, then Q2 for true damage. You back off so you hit with the outer cone in between your Qs so that the enemy melee isn't hitting you, but you can go back in and hit them with the slow from W.
But yeah if you are just trying to kill someone who isn't running as fast as possible, W is a waste after the early game.