It just reduces the chances of lint lodging in the tension mechanism. Thread is spun with directionality. Rubbing it against the grain will dislodge more lint than rubbing with the grain.
Actually, the same applies to bobbin thread -- long lengths should not be pulled backwards through the tensioning system. In that case, I think the bigger risk is eventually scoring the metal.
I don't find it any more difficult to snip thread first, so I just made it a habit to always pull thread through with the grain.
Hand quilters are taught to thread their needle with the grain of the thread (knot goes at spool end of the cut thread). This also is because friction is reduced if you pull thread through fabric with the grain of the thread instead of against the grain of the thread.