I have wondered about the exact same thing, dorfmouse! I imagine a composer writing all the original notes on paper, then suddenly during a live performance, decided to add more notes. As there was no space left to add those notes on paper, the composer had to squeeze it in as a smaller, optional note... Tada, appoggiatura!
OK, that was just a joke...

Just something I used to convince myself then.
I have been told that some ornaments are added during transcription or by editors. Whatever it was, skipping an ornament does not damage the melody or harmony. That should apply to the appoggiatura too.
Here is one some background I found on wikipedia:
http://en.wikipedia.org/wiki/Ornament_(music)