I really like Counterfactual History, in fact a counterfactual documentary started my interest in History in the first place.

I think it's a thing everyone studying and researching history should do once in a while, for a number of reasons:

1. It serves as a lesson in humility regarding the concept of "truth", "proof" and "verification". Most of the things Historians deal with can't be observed in a objective, near-binary "true or false" kind of way. Most of the time, we can only take (well-)educated guesses about the reasons and reasonings of the people we write about. And because of that, counterfactual history (which means: we have zero sources for what we're writing about because it didn't happen) confronts us with the lack of sources we have for every single historic event ever.

2. Writing good counterfactual history requires extensive knowledge of the starting point, the situation where you "change history":

2.1) You need to pick a good way to alter the course of history. Every once in a while, there are threads in /r/HistoricalWhatIf about Hitler turning out to be an alien, or America never being discovered by Europeans. This is not realistic, and a lot of other ideas aren't either, though it isn't as obvious.

2.2) To have strong arguments for the way you propose the course of your counterfactual history, you need to know as much as possible about the factual situation right before you "change" it. Every single change in your history you propose has to be referenced with information that is taken from the actual history. Even though most Historians see it that way, counterfactual history does NOT mean you can just make stuff up.

3. You learn to avoid the teleological fallacy, that is: Everything in history leads to the situation in the present. With counterfactual history, your thought process goes from past to present, while usual historical thinking goes from present to past. Especially in contemporary history, you are personally connected to the outcome of events (such as the cold war, for example), so you're tempted to write the history of the cold war with its end in mind. You can't to that with counterfactual history.

That said: I don't think it's necessarily a thing that has to be published in books, even though it can be entertaining. But it's a good training method for aspiring as well as older Historians.

Well... In a way, historians implicitly play the what-if game when they propose a historical explanation. For example:

"X was decisive in Y." With 'Y' being the historical outcome. For example, if one were to argue that Stalingrad was the decisive battle in World War 2, he is implicitly argueing that history would have turned out differently had Stalingrad not happened as it did.

Personally... I think counterfactual reasoning is a great way for the historian to consider different avenues for research. A historian who asks no counterfactual questions risks being blindsided by historical determinism (the idea that whatever happened in history was inevitable). For example, asking yourself if Churchill ever considered Y or Z, might lead your research into another way ("Did he?"). This can add texture and depth to your historical understanding of the subject.

Fully pursuing counterfactuals... Well... All historians do this at the dinner table. It's fun, it's also impossible.

As several others have pointed out, the value of counter-factual consideration is that it can help clarify questions about causality and importance. One I like to ponder is, "If Albert Einstein hadn't been born, would the creation of the first atomic bomb been affected?" Most people assume the answer is "yes" but I lean towards "no," and explaining why that is the case is an interesting exercise in talking about why Einstein was less important to the development of the bomb than most people realize. So it becomes an exercise in talking about history as it happened under the conceit of history as it might have happened.

Can we know this for sure? Obviously not. It must inherently be speculative. We must state this up front. We must never pretend we know what we cannot know. If we do it for entertainments' sake, then it just becomes a work of fiction. (I have no real problems with that as long as we make it clear that's the case.)

But to rule it out as a method for talking about the past is silly. Physicists use thought experiments that cannot possibly exist in reality to clarify physical principles and play with ideas. Certainly we can do so as well without forfeiting epistemological rigor, as long as we remember why we are doing it.

No. We have no way of knowing the outcomes of events that did not happen, and even if we did they tell us nothing about actual events. It is epistemologically invalid as an approach, and cannot tell us anything about the past.