I don't typically do it. I imagine it is incase it is trying to change or install new files which opened programs may be trying to use at the same time.

If your computer is trying to load 'FileX' on one program, and 'ProgramY' is trying to change things in FileX then it gets a bit messy because one doesnt want to let the other do it's task.... much like how you can't typically send or transfer a file which you have opened up incase you try to re-save it whilst it is sending.