The more you upgrade the building, the more features and additions you'll get.
Such features will appear inside the upgrading screen's box when you upgrade a level.
For example, increasing the building's level from 1 to 4 unlocks missions relating to the four factories within your base.

Furthermore, improving this building is considered a necessary condition for upgrading the other buildings inside your base as well as finishing the research linked to the iron blood relic in the research institute.