It depends on where the cannelure is, and what it's applied to. On bullets, it's normally for crimping into, especially for revolver rounds, to keep the bullet from jumping crimp and locking up the cylinder. As someone who has done a lot of bullet swaging, I can say without hesitation that a cannelure is not going to help a jacket stay on a core in a cup and core bullet. Bonding does that, whether by heat or chemically. A deep cannalure can be applied which would help to stop the jacket from peeling at that point, since it would be a weak point in the jacket (a stress crack, so to speak).
I have a CH Cannelure Tool, and a Corbin Cannelure Tool, both of which are used for applying cannelures to cup and core bullets I've swaged.
A cannelure placed on a cartridge case can have several functions. One is to help hold the bullet in place by providing a friction point. It can also be placed at the base of the bullet to keep it from being seated deeper during the transition from the magazine to the chamber. The cannelure can also be used to designate specialty ammunition. Blanks are sometimes cannelured near the base to designate that the brass was used for blank loads after being fired. I've also run across quite a bit of Winchester nickel .38 Special cases that have a single cannelure approximately 1/8" above the extractor groove, with would serve no purpose concerning bullets. My assumption, and it's only that, is that it designated some special loading by Winchester, but I never saw the packaging it came in, so it's just a guess.
Hope this helps.
Fred