Definitions are set up to produce useful results. In the complex field there are probably two motivators for definitions. One is to have analogues to the real spaces. In particular, if you use a complex operation or function, when confined to real numbers it should give the same answer as the analogous operation for the reals. The other is that complex functions and vectors often result from the study of problems in physics. If the definitions and notation are set up poorly it would complicate the mathematics or even make it impossible.
Consider, for example, the length of a vector u. For real vectors it is $(u \cdot u)^{1/2}$. In the complex case if you don't use a conjugate for the inner product,
$(u \cdot u)$ won't even be a real number. This won't work as a length. The length of a vector is pretty fundamental. You can hardly do any complex mathematics without it. By itself it is sufficient reason for the way the complex inner product is defined.
In turn all sorts of complex-valued matrix manipulations like multiplication then depend on that inner product, which has to be consistent; the operations will fail without a properly defined inner product.
Likewise, if you are trying to work with heat equations, or wave equations, etc. you are going to wind up with functions of complex variables. You need the arithmetic to work correctly or you will get not so much wrong answers as nonsense.
Now as to why this inner product seems unintuitive. We are used to thinking of vectors as arrows in the plane, or maybe in 3 dimensions. This is not a good geometric model for complex vectors. Better is to think of them as describing directionality within ongoing physical processes that involve two or three dimensional time dependent behavior. So the complex vectors are describing the directional relationships between various aspects of the process; and quite commonly these directions are orthogonal in the geometric sense.
Here's a quote.
"In an electromagnetic plane wave, E and B are always perpendicular to each other and the direction of propagation" (where E is the electric field and B is the magnetic flux density.) I'm sure you can find whole books full of observations like this.
So that is the kind of thing orthogonality means for complex vectors. There are some very nice pictures on this website: http://en.wikipedia.org/wiki/Poynting_vector.