As with all buttons on the MCP, they can only be deselected if they are lit. Of course it does nothing when in VNAV, as speed is managed from the FMC (speed window blank) and A/T FMA says "FMC SPD". I can't see what the captain tried to demonstrate to you?
System knowledge?!
In other pitch modes like ALT HLD, MCP SPD or G/S, it disengages/re-engages the auto throttle or change the thrust mode.
Useful?
1) You took off with full derate, after takeoff ATC asks you to expedite climb... Press SPD to get climb thrust (FMA thrust mode changes from ARM to N1) and delete any reduced CLB-1 or CLB-2 from the FMC N1 limits page. You now have full climb thrust.
2) Raw data take off with A/T on. Press SPD to get manual throttles to perform a level off. Press SPD again to get climb thrust, when further climb clearance (lazy version, as opposed to A/T off
).
Edit: 
as correctly said by Defred, both above examples of course the N1 switch. Sorry brain fade, and hereby corrected. 
3) In cruise with increasing speed due to changing wind, throttles move towards an undesirable low N1: Press ALT HLD (to exit VNAV) and SPD to get manual throttles and set them where you like. Press SPD again to resume auto throttle (alternative is to battle the auto throttles motors or again switch off A/T - I think deselect SPD is more elegant
).
4) Approach with G/S captured. Press SPD to get manual throttles, but leaving them armed for GA (can't be done in any other way - SOP in some companies
).
There are a lot of things in the auto flight that to some may be useless and to other may have a purpose. Great with choices, right?