At least on the SAs I've worked with, the IF output isn't an intermediate conversion stage LO or anything, it's the fully downconverted input signal (sometimes what the ADC sees, depending on architecture), and it's available as an output for external digitization/analysis/whatever. That means in a zero span mode, your SA effectively just acts as a mixer and LO, downconverting the input and outputing on the IF output, but it also means you can send it into a scope or a signal analyzer to get some additional capability the SA doesn't include. Notably, if your SA can't decode a wide enough bandwidth to demodulate a given signal, you could use the IF output to digitize it on a much higher bandwidth scope and run demodulation software in that, or even on another device just using the scope as a digitizer.