Purgatory makes no sense when you have an evangelical protestant perspective of man, sin, free will, salvation and heaven. When you perceive Jesus’ passion as a legal maneuver by which the Divine penal system is satisfied, the sinner ‘covered’ by the righteousness of Christ and doors of heaven opened, purgatory makes no sense.
But such a system begs some hard questions. If I am a christian, but since my conversion still commit the occasional sin, how can heaven still be heaven when I am present? I still hurt people from time to time. There will be no hurt in heaven: how can I be allowed to be there? Some protestants believe that God will surgically remove this remaining inclination towards sin, but what about free will? Will it be done via Divine wave of the hand or will we be required to cooperate in our will? Catholics take the latter approach and call it Purgatory.
Remember, Purgatory is NOT about punishment in the punitive legalistic sense. It is about a Fatherly disciplining of His children so that we are purged of the stuff that would otherwise ruin heaven!
As for saints, surely you don’t think all the dead believers that have gone before us are sitting on their duffs eating heavenly Bon-Bons and playing the harp? Scripture clearly exhorts believers to pray for one another and ALSO clearly states that believers will enjoy eternal life. Why would you think the saints in heaven less capable of performing duties commanded of saints on earth?