Yes, this one has always puzzled me. It does feels like it was meant to be a 4-level stack, what with the 3 tiers of traffic, but then something went awry and the southern connection was never built. Someone mentioned a nearby SSSI may be to blame but the closest is Bricken Wood Common and that's on the other side of houses 3/4 of a mile south. Nor does there seem to be any listed buildings, schelduled monuments etc. that would have caused a problem either. I suspect one of the older comments is right - it was simply too close to Junction 6 on the M1 and DoT didn't want to spend money on the reconfiguration/weaving lanes that would have so surely been needed.
I also feel that the problem is compounded by the signage provided for motorists - particularly those unfamiliar to the area - approaching on the clockwise M25. You've very much given the impression that you *must* turn off onto the A41 and trundle through Watford in order to reach the M1. In reality, you're far better off leaving at 21a and using the A405 to join the M1 at junction 6. This certainly caught me out the first time.