Red mercury is a bit of a strange one and is somewhat a relic of the Cold War. Most claims relate to it being used to make it easier to construct a nuclear weapon. Generally to manufacture a nuclear bomb, you need massive centrifuges used to enrich Uranium. This takes many years and the centrifuges are very large and really hard to hide. Red mercury was claimed to be manufactured to enrich Uranium without requiring the centrifuges. It was also claimed that it may be an easier material to use to make what is called a “Primary” in a nuclear bomb (Its the small nuclear weapon which is used to trigger a much larger nuclear device). A final claim was that Red Mercury could be used as a stealth material.
Most of these claims originated from the Soviet Union. The only samples obtained of the so-called “Red Mercury” were not made of any one substance and were actually a mixture of a bunch of things. Western scientists could not use the substance for any of the claimed purposes.
Western governments guessed that Red Mercury was either a ploy by the Sovets to scare the West or either a strategy by a secret intelligence agency to dupe rogue states and terrorists looking to make a functioning nuclear device into the open to try and buy the functionless substance.
Basically, samples exist, we don’t know what it’s for, but we don’t think it does any thing special. Therefore, the west believes the reason for its existence is not scientific but political.