The Stuka Dive bomber was a dive bomber, meaning it was used to attack enemy positions and strong points. The Junker Ju 87 Stuka was no doubt the most famous dive bomber of the war due to their iconic nature. They were equipped with a propeller driven siren fitted on each undercarriage leg for the purpose of damaging enemy morale and causing physiological damage. The sirens were known as "Jericho Trumpet" and gave the Stuka a terrifying reputation. However, the siren was only included on the earlier models like the JU87A. The siren was eventually removed from later models like the JU87D because it was felt that the enemy had gotten used to the sounds.

If you want more about the various types of Stukas and its history check out Hitler's Stuka Squadrons by John Ward.

The thing is, the Germans weren't so cocky as to believe that the Stukas would kill every single person they were bombing. Furthermore there would be people around nearby who may not be a direct target but would still hear the sound. So its not just a case of scaring people they were going to bomb to death.

Furthermore, it still makes sense to try and scare those you do plan on killing. The psychological fear that some might have experienced when hearing the sound could very well reduce their combat effectiveness and indeed, make it easier to kill them by doing so. For a generic example, imagine you were under attack by Stukas but managed to survive. No doubt this would be a nerve wracking experience. Now imagine you hear those sirens, which you will now so closely associate with the thoughts, emotions, and terrors of that first attack. Now perhaps you can start to understand the purpose of such psychological weapons (though as pointed out, as time went on the soldiers on the ground may have become more accustomed to the sound reducing the effectiveness of the siren.)