Generating a UUID on first run is the way the google people recommend for tracking the installation of an android app, so you can store user data on the server, like user config, savegames, etc, exactly the same use case that Mattias is asking here.
The advantage of doing it on the appletloader instead of on the webpage with php is that the work is done only once on the appletloader instead of everyone who wants that feature having to implement that.
One disadvantage of doing it on the appletloader is that if you want your app to be deployed also as a webstart, or a standalone instalation (zip + script, or runnable jar) then you would need to do this in your own code instead of on the appletloader because that is only used on the applet deployment.