I can think of, and have seen a few situations where a fall arrest load could be applied vertically (or some vertical component):
1. Like jayrod12 said about anchors servicing both sides of a building, but sometimes there's a penthouse in the way and the lines have to go up and over.
2. Large architectural panels at the roof - essentially a 10'-15' parapet. Ridiculous, I know. Again, lines have to go up and over.
3. Accessing windows in terraced buildings can be difficult sometimes. The anchors are often hidden in the floor of a unit's patio and require lines to go over the guardrails. This causes other issues because the guardrails are often not structurally capable of deflecting the lines, and some buildings specifically restrict this.
But for a typical roof anchor - round HSS with a d-ring on top and 4 bolts to the structure below - I think the horizontal load case is probably the most severe. For example, assume the anchor has an effective height of 14" and the anchors are on an 8" square spacing - in the horizontal case, the bolt tension would be approximately 1/2x5000x14/8 = 4375 lbs and under the vertical case the bolt tension would be 1/4x5000 = 1250 lbs. I suspect a typical supporting structure would be stronger in the vertical case as well.
The direction requirement becomes especially tricky in trolley and monorail systems. All systems can tolerate being loaded with some horizontal component, but hard to put a number on the maximum angle out of plumb. And due to poor planning for future access in some buildings, many workers end up doing things like hanging 30deg out of plumb on a trolley or putting safety/suspension lines over questionable rails. I don't condone that, and I'm not saying that its right, but it happens and I don't think you can put 100% of the blame on the end user.