To save your transmission
The primary reason is to avoid having your prop spin the transmission while in neutral. This can happen due to the forward motion on the boat. Transmission spinning in neutral without the engine running can cause glazing of the clutches which may result in slipping and eventual failure. However, on my Catalina 30 I've checked this and while sailing in neutral my shaft does not turn. This may be due to the relative tightness of my packing, prop type, or some other reason. Bottom line, if while sailing in neutral the prop does not spin the shaft, should be no problem. If it does spin the shaft, shifting into reverse while sailing will stop it from turning. Hope this helps.