Why is the lesser-used katakána for [o], ヲ, taught to beginners? It doesn't seem to be for completeness' sake, as the lesser-used kana for [i] (ヰ and ゐ) and [e] (ヱ and ゑ) are not taught to beginners. Nor does ヲ seem to be appreciably more common than the other four.
ヲ and ヰ/ゐ/ヱ/ゑ are different both in terms of standard-ness and frequency.
ヲ is a contemporary standard katakana taught in the first grade (and actually recognized by most kindergarteners before entering elementary school). ヰ/ゐ/ヱ/ゑ are obsolete kana that happen to be only relatively more common than other obsolete kana. (I didn't know ヰ/ゐ/ヱ/ゑ are still allowed in names; no one around me has such kana in given names.) You can complete the modern standard kana list by learning ヲ, although you cannot complete the historical kana list by learning ヰ/ゐ/ヱ/ゑ. It's inefficient to not teach only one character in the standard list just because it's relatively infrequent. If someone excluded only this character when teaching kana, beginners would certainly wonder "Is there a katakana version of を?"
It is also wrong to think ヲ and ヰ/ゐ/ヱ/ゑ are similar in terms of pure frequency. ヲ is much more common than you might think. Someone who only reads "textbook" Japanese may not need it, but it's common in creative works including books for children. Go to uta-net and see how common ヲ is in song titles and lyrics. It's hard to imagine a Japanese child who becomes a teenager without exposure to any of those lyrics, Morse code, crossword puzzles, robot speech, gaijin speech, telegrams, retro games and so on. ヲ is also found in modern slang words, most notably ヲタク. See: When is the katakana form of wo (ヲ) used?