The first trade convoy that you send to a Station isn't going to get you the best bonuses. You often do better by trading with a rival or sending convoys internally to raise the Food and Production of your own Cities. But this is a deceptive thing. Stations only get better over time if you invest in them. To do this, trade with them, and watch the bonuses improve as the Station thrives.
Every Station has three tiers of bonuses. Each time anyone completes a route with a particular Station, it will rise to a higher tier and start giving you more yield.
If there are yields that you badly need, it's certainly worth your time to send convoys to a Station that has them. By the time they fully develop, you're going to get way more resources than you normally would. This is especially true with Culture, which you cannot trade for with any other City.