A lot of it comes down to the makeup of the biscotti you are eating. As @hoc_age mentioned some store "biscotti" are just kinda hard cookies and some are teeth-breaking dense blocks. read more
Cookies are eaten with coffee because the two taste good together. There really is no should to it. It is a matter of preference actually. If you are talking about something like a baking soda biscuit I have never come across anything indicating they should be eaten with coffee. But once again the coffee would add to the experience I suppose. read more
Adapting "Golf is a good walk spoiled," (whoever said it; Twain probably didn't), biscotti is a sure way to destroy a good coffee. Italians dip in wine instead, not in coffee according to that article. Dipping in that wine sounds marginally worse than dunking in coffee. read more