The second thing is that it teaches us the concept of pragmatism. In any given situation, it's nice to believe that there is a perfect answer that will make everything work out ideally, but the reality is that such an option rarely exists. Because of that, we have to make the best decision possible. And if no available decision is good, then we must make the least bad decision.
The problem with the adage is that it totally neglects the obvious conclusion that the lesser of two evils is still evil. Choose to not vote. Break beyond the dichotomy. If you are given two evil options, pick neither of them.