Few aftershave splashes do anything that I can see, other than sting and make me red raw. The only exceptions I know of being Mennin Skin Bracer, Halston Catalyst, the Trumper range of after shave splashes, Olay Men post shave toner. Since they leave a thin residue of some description that makes them act like aftershave balms, I imagine they'd work without shaving.
All aftershave balms I can use as skin moisturiser, without the sunscreen protection (which I don't want a lot of the time). This works regardless of shaving. I like them better than some specific men's moisturisers that give me a wet look for the entire day, that I don't really like much.
Some people have dry flakey face skin, and the balms and aforementioned splashes do fix the flakiness up for the day.