possibly just convention as i have seen ones without, also it may be a hint that the light is going to change to red when stopping and should therefore slow down    

In my country amber is used only for those moving at high speed and need to see a change from a bigger distance. Pedestrian lights don’t have it, additional lights for those who turn right on the crossroads don’t have it (usually there is only additional green light, but sometimes red/green), so I guess it means something when you drive fast to have more warning. Sometimes you can see a green light flashing for few seconds before it turns off and amber turns on. It could be enough warning without the amber light but if it is a nighttime and it is heavily raining or it is fogy or something amber comes in handy.

In many Western countries the amber light legally means stop unless it is unsafe to do so.  The amber light assists motorists with the fact that vechiles do not stop instantaneously and thus a green light changing to a sudden red would often create a much more dangerous intersection with an increased risk of crashes.  Amber lights allow cars to prepare to stop, therefore allowing traffic to slow rather than making motorists travelling at speed to decide at an instant whether to stop or try and make it through.

I've already worked out why in France the stopping sequence is green, amber red, but the lights then go straight from red to green.  If there was amber both ways, there would be a lot of accidents, in view of the fact that no one stops at amber.

In Germany, and soon to be introduced in France, there are cameras at some lights which photograph the number plate of anyone passing at red.  This results in lots of shunts, because drivers stamp hard on the brakes if the lights go to amber.

The amber light at traffic lights is not only a sign of changing lights but also a safety feature.

If traffic lights fail, which happens if a bulb blows or the electronic control recognises any other failure, the control automatically need to switch to flashing amber light at least to the lower priority road to signal drivers "be axtra careful". If there was no amber light, there would be no possibility to have a flashing light.

As traffic lights use LED lights (Light Emitting Diodes) with only 5 to 9 Watt and the amber light is rather is not lighting very often. the power consumption of these amber lights is rather low.

Compare: An average traffic light using 75 Watt conventional bulbs used to consume 11,000 kWh per year. Modern traffic lights only consume 1,000 kWh p.a..