I would love the ability to pillage my own roads. IRL, it would take less work to destroy a road than an entire town/farm/etc. Pillaging your own roads would be useful when you know that the territory will soon belong to someone else and you won't be able to retake it any time soon. There are two times I would like to be able to practice a full scorched earth policy:
1) Imminent cultural expansion of a neighbor. This usually occurs in recently captured cities that border a peaceful third party. Even with rush-buying cultural improvements, you can find that the peaceful neighbor has such strong culture in the area that you lose tiles to him. Check the percentages of population mix in each tile along the border and pillage everything in the tiles that will likely flip. If a city is in danger of flipping, pillage everything around that city that is still within your borders.
2) Imminent loss of city. I've had it happen in two games where I captured a city, left a garrison and pushed on, only to have my invasion force shredded. The enemy sent a counterattack to retake the captured city, and I could see it was strong enough to do so. When I see that I'm going to lose a city to an approaching army, I'll leave one defender in the city and set the other three to pillaging improvements (the most valuable improvements go first).
In either case, if I could pillage my roads I would be able to slow down troop movement in that area even after it becomes the enemy's, and tie up his workers re-improving the land rather than handing over improved terrritory.