I was told it was because it keeps chips from getting pushed into gibs/ways (lathes) and into bearings and bushings. A scratch can rapidly damage any of those, and a scratch is not terribly far away with a chip of the wrong stuff in the wrong place. I don’t know how common that actually is, but I learned it from some old school machinists (and a crotchety old shop teacher) that were pretty adamant about it. Sort of makes sense. @mbellon has a lot to say on the matter. There are some great discussions here in the forums about dust shoes and how to fit them into the standard enclosure.