Katier is correct. If you will notice that sometime the bobbin stitch may be a bit looser than the top or there may be skipped stitches. Setting seams embeads these looser stitches into the fabric making the fold lay flatter. Also the seam line may pucker a bit and setting the seam tends to help straighten out the edge and enable the fold to lay flatter. It also helps to tame the edges of different weights and texture of the fabric. I have been working with some looser weave cotton fabric and the pieces sure lay flatter when the seams are set. I believe it is just a good practice for good looking piecing even if you don't see much difference.