My first thought was that this might be to protect Musk's assets if Tesla/SolarCity etc run out of cash, go belly up etc. Parking his wealth in yet another early stage entity would make it harder to go after if structured cleverly?
The point of a limit corporation is that the shareholders are not personally liable for the company's debts. There are exceptions (usually related to the shareholders using corporate money for their personal purposes), but they're rare, and in any case I don't think this would protect him, since the shares in the Boring Company are themselves assets.
