What we are dealing with on this topic is a construction issue. We are all basically engineering quilts. We do certain things to make that construction stronger. This is one of them. It's an old dressmaker's trick to "marry" the stitching threads to the threads of the fabric at the seam to increase stability and durability. Think about nailing a nail head down even with the board as well. Stronger, smoother, etc.
If your quilt is not going to be used or stressed over time (like wall hangings are) then perhaps setting the seam or not won't make much difference. But my investment of time alone mandates that I put my "covers quilts" together to withstand washing, tugging, folding, and the rigors of life as a used quilt. I set seams. You bet I do!