I readed a bit more about the purge valve and saw the diagrams. It connects to the carbon cannister. The way it's set up, the middle connection is the one that turns the valve on or off. It is never meant to receive high pressure air through one of the two lateral connections, because the area connected to, at the turbo intake tube is always under vacuum. So maybe the air lifts the needle of the valve.
If I would have to guess what happens if this valve fails, I would have to say that you would bleed some pressure from the intake manifold back to the turbo intake tube, or, depending on the status of the purge solenoid, into the carbon cannister.
There is a little arrow on the valve, you can check and see if it points in the right direction.