Setting the seams presses the thread into the fibers of the fabric and makes a smoother seam so that when you press the seam to the side or open the result is much smoother and flatter, and pressing the seams always goes better and looks better. Some might ask why the looks would matter, and the answer is that the looks of each process affects the looks of the processes that come after, and the final result, the one that all will see when they see your quilt is that it looks great! That's what we want :-D